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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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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
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Testing of a market fraction model and power-law behaviour in the Dax 30
He, Xue-zhong; Li, Youwei - 2015
Persistent link: https://www.econbiz.de/10011344322
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Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong; Li, Youwei - In: Journal of empirical finance 31 (2015), pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
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Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea; Marín, J. Miguel; Veiga, Helena - In: Econometric reviews 39 (2020) 10, pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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The stock returns volatility based on the GARCH (1,1) model : the superiority of the truncated standard normal distribution in forecasting volatility
Gulay, Emrah; Emec, Hamdi - In: Iranian economic review : journal of University of Tehran 23 (2019) 1, pp. 87-108
Persistent link: https://www.econbiz.de/10012152550