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Predicting in shock : on the impact of negative, extreme, rare, and short lived events on judgmental forecasts
Durbach, Ian; Montibeller, Gilberto - In: EURO Journal on decision processes 6 (2018) 1/2, pp. 213-233
Persistent link: https://www.econbiz.de/10011889486
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - 2015
Persistent link: https://www.econbiz.de/10011632222
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index
Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....
Persistent link: https://www.econbiz.de/10012508859
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
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Interaction between structural and cyclical shocks in production and employment
Butter, Frank A. G. den; Koopman, Siem Jan - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 2, pp. 273-296
Persistent link: https://www.econbiz.de/10001594753