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Correlation shrinkage : implications for risk forecasting

Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108

Persistent link: https://www.econbiz.de/10012589102

Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014225819

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011382540

Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models

Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18

Persistent link: https://www.econbiz.de/10011572395

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

Alexeev, Vitali - 2019

We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003...

Persistent link: https://www.econbiz.de/10012865575

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878

Persistent link: https://www.econbiz.de/10012295647

Dynamic covariance matrix estimation and portfolio analysis with high-frequency data

Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491

Persistent link: https://www.econbiz.de/10014526333

Contribution to portfolio tracking error volatility with geometric illustration

Zhang, Jubao; Ma, Juan - In: Applied economics letters 31 (2024) 20, pp. 2176-2181

Persistent link: https://www.econbiz.de/10015095156