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Forecasting financial returns with a structural macroeconomic model

Jondeau, Eric; Rockinger, Michael - 2016

AutoRegression (VAR) and a fully structural Dynamic Stochastic General Equilibrium (DSGE) model, at forecasting financial returns. We … show that the DSGE model outperforms the unrestricted VAR at forecasting financial returns in the long term and generates …

Persistent link: https://www.econbiz.de/10011515898

Destabilizing properties of a VaR or probability-of-ruin constraint when variances may be infinite

Eisenberg, Laurence K. - In: Journal of financial stability 7 (2011) 1, pp. 10-18

Persistent link: https://www.econbiz.de/10009272316

A theory of risk capital

Erel, Isil; Myers, Stewart C.; Read, James A. - In: Journal of financial economics 118 (2015) 3, pp. 620-635

Persistent link: https://www.econbiz.de/10011480544

Do market prices aggregate information about macroeconomic uncertainty (or risk)?

Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534

Persistent link: https://www.econbiz.de/10011295329

A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012659611

A conditional heteroscedastic VaR approach with alternative distributions

Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98

Persistent link: https://www.econbiz.de/10012617079

Network VAR models to measure financial contagion

Ahelegbey, Daniel Felix; Giudici, Paolo; Hashem, Shatha … - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012668002

Forecasting value-at-risk using high-frequency information

Huang, Huiyu; Lee, Tae-hwy - In: Econometrics : open access journal 1 (2013) 1, pp. 127-140

forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …

Persistent link: https://www.econbiz.de/10009776365

Marginal or copula : which one is critical?

Choi, Pilsun; Min, Insik - In: Applied economics letters 20 (2013) 16/18, pp. 1462-1465

Persistent link: https://www.econbiz.de/10010213173

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

Persistent link: https://www.econbiz.de/10012258877

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