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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
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The modeling and forecasting of extreme events in electricity spot markets
Herrera, Rodrigo; González, Nicolás - In: International journal of forecasting 30 (2014) 3, pp. 477-490
Persistent link: https://www.econbiz.de/10010511552
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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
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
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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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The validation of filtered historical value-at-risk models
Gurrola-Perez, Pedro - In: The journal of risk model validation 12 (2018) 1, pp. 85-112
Persistent link: https://www.econbiz.de/10011869735
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...
Persistent link: https://www.econbiz.de/10012910119