Similar Search Results

Forecasting the return distribution using high-frequency volatility measures

Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403

Persistent link: https://www.econbiz.de/10010247031

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

The time-varying risk of Italian GDP

Busetti, Fabio; Caivano, Michele; Delle Monache, Davide; … - 2020

Persistent link: https://www.econbiz.de/10012300712

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012522289

Real-time macroeconomic forecasting with a heteroscedastic inversion copula

Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486

Persistent link: https://www.econbiz.de/10012262488

Conditional term structure of inflation forecast uncertainty : the copula approach

Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10012021948

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

Distributional time series for forecasting and risk assessment

Dobronets, Boris S.; Popova, Olga A.; Merko, Alexei M. - In: International journal of risk assessment and management … 24 (2021) 2/4, pp. 140-155

Persistent link: https://www.econbiz.de/10014227063

The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall : a Complete Realized Exponential GARCH-X approach

Naimoli, Antonio - In: International economics : a journal published by CEPII … 176 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014468603

ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts

Lahiri, Kajal; Liu, Fushang - In: Econometric analysis of financial and economic time series, (pp. 321-363). 2006

We develop a theoretical model to compare forecast uncertainty estimated from time-series models to those available from survey density forecasts. The sum of the average variance of individual densities and the disagreement is shown to approximate the predictive uncertainty from well-specified...

Persistent link: https://www.econbiz.de/10015385513