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Risk measurement distortion : an improved model of return smoothing

Chen, Jiaqi; Tindall, Michael L.; Wu, Wenbo - In: Financial markets and portfolio management 32 (2018) 3, pp. 297-310

Persistent link: https://www.econbiz.de/10011951981

Dynamic hedging performance and downside risk : evidence from Nikkei index futures

Ubukata, Masato - In: International review of economics & finance : IREF 58 (2018), pp. 270-281

Persistent link: https://www.econbiz.de/10012034262

Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach

Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593

Persistent link: https://www.econbiz.de/10012210957

Confidence intervals for conditional tail risk measures in ARMA-GARCH models

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624

Persistent link: https://www.econbiz.de/10012179001

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142