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Return distribution predictability and its implications for portfolio selection

Zhu, Min - In: International review of economics & finance : IREF 27 (2013), pp. 209-223

Persistent link: https://www.econbiz.de/10009740823

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

Merlo, Luca; Petrella, Lea; Raponi, Valentina - In: Journal of banking & finance 133 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013256440

Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013413442

Modeling dependence structure and forecasting market risk with dynamic asymmetric copula

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015

Persistent link: https://www.econbiz.de/10011325736

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10009723920

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10013084434