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Modeling commodity value at risk with Psi Sigma neural networks using open-high-low-close data

Sermpinis, Georgios; Laws, Jason; Dunis, Christian - In: The European journal of finance 21 (2015) 4/6, pp. 316-336

Persistent link: https://www.econbiz.de/10010528195

Energy risk management through self-exciting marked point process

Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76

Persistent link: https://www.econbiz.de/10009763643

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy

Weiß, Gregor - In: Review of quantitative finance and accounting 41 (2013) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10009774463

Comparing univariate and multivariate models to forecast portfolio value-at-risk

Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 400-441

Persistent link: https://www.econbiz.de/10009745807

Modeling CAC40 volatility using ultra-high frequency data

Degiannakis, Stavros; Floros, Christos - In: Research in international business and finance 28 (2013), pp. 68-81

Persistent link: https://www.econbiz.de/10009725156

Portfolio risk management in a data-rich environment

Bouaddi, Mohammed; Taamouti, Abderrahim - In: Financial markets and portfolio management 26 (2012) 4, pp. 469-494

Persistent link: https://www.econbiz.de/10009667499

Forecasting intraday volatility and value-at-risk with high-frequency data

So, Mike Ka-pui; Xu, Rui - In: Asia-Pacific financial markets 20 (2013) 1, pp. 83-111

Persistent link: https://www.econbiz.de/10009718871

Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann

Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011

Persistent link: https://www.econbiz.de/10009720750

The role of models in economics and risk management

Rowe, David M. - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 103-109

Persistent link: https://www.econbiz.de/10010359522

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