Similar Search Results

Forecasting financial time series : normal GARCH with outliers or heavy tailed distribution assumptions?

Hartz, Christoph; Paolella, Marc S. - 2011

The use of GARCH models is widely used as an effective method for capturing the volatility clustering inherent in … that the latter method is better if interest centers on volatility and value-at-risk prediction. New volatility measures … naive estimator used in other GARCH outlier studies. Outliers, fat-tailed distributions, GARCH, volatility …

Persistent link: https://www.econbiz.de/10009375155

Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions

Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10009521860

Quantile forecasts of financial returns using realized GARCH models

Watanabe, Toshiaki - 2011

Persistent link: https://www.econbiz.de/10009239366

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

Forecasting daily return densities from intraday data : a multifractal approach

Hallam, Mark; Olmo, Jose - In: International journal of forecasting 30 (2014) 4, pp. 863-881

Persistent link: https://www.econbiz.de/10010517781

BRIC's risk management based on an innovative VaR

Matos, Paulo; Cruz, Rogério; Jucá, Iana; Azevedo, Alana - In: The empirical economics letters : a monthly … 14 (2015) 7, pp. 697-704

Persistent link: https://www.econbiz.de/10011419292

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Forecasting VaR models under different volatility processes and distributions of return innovations

Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531

Persistent link: https://www.econbiz.de/10011282095

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …

Persistent link: https://www.econbiz.de/10011299968