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Forecasting value at risk (VaR) for emerging and developed markets
Naimy, Viviane; Bou Zeidan, Melissa - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 3, pp. 153-174
Persistent link: https://www.econbiz.de/10012173924
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Can inflation predict energy price volatility?
Batten, Jonathan A.; Mo, Di; Pourkhanali, Armin - In: Energy economics 129 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014558888
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Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …
Persistent link: https://www.econbiz.de/10014238092
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Forecasting stock return volatility in data-rich environment : a new powerful predictor
Dai, Zhifeng; Zhang, Xiaotong; Li, Tingyu - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014246821
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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …
Persistent link: https://www.econbiz.de/10013404229
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Investors' uncertainty and forecasting stock market volatility
Liu, Ruipeng; Gupta, Rangan - In: The journal of behavioral finance : a publication of … 23 (2022) 3, pp. 327-337
Persistent link: https://www.econbiz.de/10013353013
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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility
Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022
Persistent link: https://www.econbiz.de/10013539142
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
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Multiperiod portfolio allocation : a study of volatility clustering, non-normalities and predictable returns
Simonato, Jean-Guy; Denault, Michel - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014486271