Narrow search
Showing 1 - 10 of 16,857
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
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc; Trucios, Carlos - 2020
Persistent link: https://www.econbiz.de/10012437084
Cover Image
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
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 Frey (2000) where we permit a time-varying...
Persistent link: https://www.econbiz.de/10013214142
Cover Image
The snp-dcc model: a new methodology for risk management and forecasting
Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier - 2010
Persistent link: https://www.econbiz.de/10010422539
Cover Image
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Cover Image
Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
Cover Image
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
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
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