Narrow search
Showing 1 - 10 of 14,216
Cover Image
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
Cover Image
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
Cover Image
Modeling dependence structure and forecasting market risk with dynamic asymmetric copula
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015
Persistent link: https://www.econbiz.de/10011325736
Cover Image
Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
Cover Image
Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
Cover Image
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Cover Image
Detecting structural differences in tail dependence of financial time series
Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
Cover Image
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
Cover Image
Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
Cover Image
Expected shortfall and tail conditional expectation with the Pearson type IV distribution
Stavroyiannis, Stavros - In: Global business & economics review 18 (2016) 1, pp. 41-53
Persistent link: https://www.econbiz.de/10011738550