Similar Search Results

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

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

Frontiers in VaR forecasting and backtesting

Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501

Persistent link: https://www.econbiz.de/10011597163

Forecasting VaR using realized EGARCH model with skewness and kurtosis

Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430736

Does the tail risk index matter in forecasting downside risk?

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466

Persistent link: https://www.econbiz.de/10014327761

Forecasting VaR and ES using dynamic conditional score models and skew Student distribution

Gao, Chun-Ting; Zhou, Xiao-Hua - In: Economic modelling 53 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011641009

How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice

Dimitriadis, Timo; Halbleib, Roxana - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES … assumption that allows for a simple computation of daily VaR and ES by scaling up their intraday counterparts computed from data … VaR and ES estimates and show that our method outperforms standard ones in accurately estimating and forecasting VaR and …

Persistent link: https://www.econbiz.de/10012317619

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

The new international regulation of market risk : roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012423037

A VaR assuming Student t distribution not significantly different from a VaR assuming normal distribution

Xu, Su - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 3, pp. 189-201

Persistent link: https://www.econbiz.de/10011800964