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Measuring tail risk
Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of econometrics 241 (2024) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10015075193
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Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno - 2018
Persistent link: https://www.econbiz.de/10012173996
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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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; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …
Persistent link: https://www.econbiz.de/10013214142
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide …
Persistent link: https://www.econbiz.de/10012910119
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES …
Persistent link: https://www.econbiz.de/10012317619
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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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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979