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Worldwide equity risk prediction
Ardia, David; Hoogerheide, Lennart F. - In: Applied economics letters 20 (2013) 13/15, pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
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Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
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Forecasting the VaR of crude oil market: do alternative distributions help?
Lyu, Yongjian; Wang, Peng; Wei, Yu; Ke, Rui - In: Energy economics 66 (2017), pp. 523-534
Persistent link: https://www.econbiz.de/10011896562
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Predicting gold volatility : exploring the impact of extreme risk in the international commodity market
Tang, Yusui; Zhong, Juandan - In: Finance research letters 58 (2023) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10014631292
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Oil tail-risk forecasts : from financial crisis to COVID-19
Kuang, Wei - In: Risk management : an international journal 24 (2022) 4, pp. 420-460
Persistent link: https://www.econbiz.de/10013464195
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Climate risks and prediction of sectoral REITs volatility : international evidence
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Bouri, Elie - 2024
Persistent link: https://www.econbiz.de/10014635867
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A nonparametric GARCH model of crude oil price return volatility
Hou, Aijun; Suardi, Sandy - In: Energy economics 34 (2012) 2, pp. 618-626
Persistent link: https://www.econbiz.de/10009618668
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Bootstrapping the expected shortfall
Sun, Shuxia; Cheng, Fuxia - In: Theoretical economics letters 8 (2018) 4, pp. 685-698
Persistent link: https://www.econbiz.de/10011882103
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Predicting extreme VaR : nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - 2010
extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different … management ; extreme value theory ; monotonization ; CAViaR …
Persistent link: https://www.econbiz.de/10003952845