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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …
Persistent link: https://www.econbiz.de/10012910119
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Can volatility models explain extreme events?
Trapin, Luca - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
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The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...
Gohs, Andreas Marcus - 2022
Regular or automated processes require reliable software applications that provide accurate volatility and Value …
Persistent link: https://www.econbiz.de/10013474092
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Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Value-at-risk estimation of foreign exchange rate risk in India
Swami, Onkar Shivraj; Pandey, Santosh Kumar; Pancholy, … - In: Asia-Pacific journal of management research and … 12 (2016) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10011559372
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Log-volatility enhanced GARCH models for single asset returns
Skoczylas, Tomasz - In: Bank i kredyt 46 (2015) 5, pp. 411-431
Persistent link: https://www.econbiz.de/10011387038
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How informative are variance risk premium and implied volatility for Value-at-Risk prediction? : international evidence
Slim, Skander; Dahmene, Meriam; Boughrara, Adel - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 22-37
Persistent link: https://www.econbiz.de/10012417081
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307