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Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

Persistent link: https://www.econbiz.de/10010510949

Tail risk in emerging markets of Southeastern Europe

Totić, Selena; Božović, Miloš - In: Applied economics 48 (2016) 19/21, pp. 1785-1798

Persistent link: https://www.econbiz.de/10011589813

Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657

Persistent link: https://www.econbiz.de/10011562539

Skewness and kurtosis ratio tests : with applications to multiperiod tail risk analysis

Wong, Woon K. - 2016

more powerful with better size properties. The proposed tests are particularly relevant to the risk management industry … where risk models are estimated using daily data, although multi-period forecasts of tail risks are required for the … determination of risk capital. Applications of the tests find significant higher-order nonlinear dependencies in global major equity …

Persistent link: https://www.econbiz.de/10011688190

Value-at-risk estimation of gold market with stable generalised hyperbolic distributions

Chinhamu, Knowledge; Chikobvu, Delson - In: Journal of economic and financial sciences 10 (2017) 3, pp. 508-512

Persistent link: https://www.econbiz.de/10011795972

Evaluating Value-at-Risk forecasts : a new set of multivariate backtests

Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132

Persistent link: https://www.econbiz.de/10011635501

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

Modeling dynamic higher moments of crude oil futures

Huang, Zhuo; Liang, Fang; Wang, Tianyi; Li, Chao - In: Finance research letters 39 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012805140

Performance of tail hedged portfolio with third moment variation swap

Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471

Persistent link: https://www.econbiz.de/10011783329

Drawdown measures and return moments

Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://www.econbiz.de/10011957033