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Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Tail-related risk measurement and forecasting in equity markets

Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816

Persistent link: https://www.econbiz.de/10012134868

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

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

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

Evaluating density forecasts from models of stock market returns

Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10002841826

Evaluating density forecasts with an application to stock market returns

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

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

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

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Prediction, risk assessment and comparison of selected emerging markets' stock indices during covid-19 pandemic using the coherent measure : comparing selected emerging markets' st...

Das, Prabir Kumar; Das, Anarghya - In: The journal of prediction markets 16 (2022) 3, pp. 81-97

Persistent link: https://www.econbiz.de/10014290506

Backtesting expected shortfall : accounting for tail risk

Du, Zaichao; Escanciano, Juan Carlos - 2015

Persistent link: https://www.econbiz.de/10010532092

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434

Persistent link: https://www.econbiz.de/10011298962

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