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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …), and a detailed forecasting and backtesting investigation is performed. …
Persistent link: https://www.econbiz.de/10012591721
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State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis - In: Essays in honour of Fabio Canova, (pp. 25-53). 2022
Persistent link: https://www.econbiz.de/10013443965
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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A Bayesian semiparametric analysis of ARCH models
Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000
Persistent link: https://www.econbiz.de/10001497195
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019
Persistent link: https://www.econbiz.de/10012134816
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...
Persistent link: https://www.econbiz.de/10012604174
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Markov switching rationality
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - In: Essays in honor of Joon Y. Park : econometric …, (pp. 35-64). 2023
Persistent link: https://www.econbiz.de/10014315144
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Robustness in forecasting future liabilities in insurance
Leung, W. Y. Jessica; Choy, S. T. Boris - In: Robustness in econometrics, (pp. 187-200). 2017
Persistent link: https://www.econbiz.de/10011801151
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Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010
Persistent link: https://www.econbiz.de/10003964500