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Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

Gabrielsen, Alexandros - 2012

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Persistent link: https://www.econbiz.de/10013105503

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

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

Persistent link: https://www.econbiz.de/10011731521

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …

Persistent link: https://www.econbiz.de/10011431370

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah - 2021

To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

Persistent link: https://www.econbiz.de/10013247805

The Contribution of Intraday Jumps to Forecasting the Density of Returns

Chorro, Christophe - 2019

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to one month. We extend the methodology developed in Maheu and McCurdy (2011) to exploit the information content of intraday data in forecasting the density of returns. Considering...

Persistent link: https://www.econbiz.de/10012902447

Topological tail dependence : evidence from forecasting realized volatility

Souto, Hugo Gobato - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26

This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory … behind Persistent Homology (PH) and the financial stock market theory. This study also proposes a novel algorithm to measure … (RV) models to improve their forecast performance during turbulent periods. The results of the empirical experimentation …

Persistent link: https://www.econbiz.de/10014514075

The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction

Fuertes, Ana-Maria - 2012

This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. Value-at-Risk (VaR) predictions obtained from daily GARCH models extended with additional information such as the realized volatility and squared overnight...

Persistent link: https://www.econbiz.de/10013105936

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …

Persistent link: https://www.econbiz.de/10001657476

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard - 2016

Persistent link: https://www.econbiz.de/10012991280

The Limitations of the Value at Risk (VaR) Model in Portfolio Volatility Evaluation; Pitfalls and Mitigations

Lawal, Solomon - 2022

Determining multiple assets’ portfolio volatility using the VaR model has proven to have so many pitfalls; once the portfolio assets are more than two, the value at risk tends to become erratic while repeated computations generate different values therefore making the VaR model...

Persistent link: https://www.econbiz.de/10013406039