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Forecasting macroeconomic risks
Adams, Patrick A.; Adrian, Tobias; Boyarchenko, Nina; … - In: International journal of forecasting 37 (2021) 3, pp. 1173-1191
Persistent link: https://www.econbiz.de/10012794835
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Risky oil : it's all in the tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - 2024
Persistent link: https://www.econbiz.de/10014537272
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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution
Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133
Persistent link: https://www.econbiz.de/10012176554
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Nowcasting tail risk to economic activity at a weekly frequency
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of applied econometrics 37 (2022) 5, pp. 843-866
Persistent link: https://www.econbiz.de/10013464633
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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
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Assessing macroeconomic tail risks in a data-rich environment
Cook, Thomas R.; Doh, Taeyoung - 2019
Persistent link: https://www.econbiz.de/10012151332
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.; Polak, Pawel - In: Annals of financial economics 18 (2023) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
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Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486
Persistent link: https://www.econbiz.de/10012262488