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Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate … investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk …

Persistent link: https://www.econbiz.de/10014436423

Ensembling ARIMAX model in algorithmic investment strategies on commodities market

Jakubowski, Paweł; Ślepaczuk, Robert; Windorbski, … - 2023

Persistent link: https://www.econbiz.de/10014448210

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

Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

Persistent link: https://www.econbiz.de/10003796201

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

Volatility timing : how best to forecast portfolio exposures

Clements, A.; Silvennoinen, A. - In: Journal of empirical finance 24 (2013), pp. 108-115

Persistent link: https://www.econbiz.de/10010371987

The economic value of volatility timing with realized jumps

Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59

Persistent link: https://www.econbiz.de/10011556992

Portfolio constructions with Bayesian GARCH forecasts

Polasek, Wolfgang; Momtchil, M. - In: Operations research proceedings 2000 : selected papers …, (pp. 119-126). 2001

Persistent link: https://www.econbiz.de/10001571447

Value at Risk (VaR) models : a comparative analysis of parametric and non parametric approaches

Ajassa, Giovanni (contributor); … - 1998

Persistent link: https://www.econbiz.de/10001435254

Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment

Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996

Persistent link: https://www.econbiz.de/10013287893

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