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~accessRights:"free"
~person:"Chlebus, Marcin"
~person:"Daníelsson, Jón"
~person:"Mittnik, Stefan"
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1
Combining forecasts? : keep it simple
Lis, Szymon
;
Chlebus, Marcin
- In:
Central European economic journal
10
(
2023
)
57
,
pp. 343-370
This study contrasts GARCH models with diverse combined forecast techniques for Commodities
Value
at
Risk
(VaR …
Persistent link: https://www.econbiz.de/10014445140
Saved in:
2
Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng
;
Kim, Young Shin
;
Mittnik, Stefan
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-23
Hidden Markov Model. (ii) We use tail risk measures, namely conditional
value-at-risk
(CVaR) and conditional drawdown …
Persistent link: https://www.econbiz.de/10013273511
Saved in:
3
GARCHNet -
Value-at-Risk
forecasting with novel approach to GARCH models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
Saved in:
4
HCR & HCR-GARCH - novel statistical learning models for
value
at
risk
estimation
Woźniak, Michał
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795164
Saved in:
5
Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795166
Saved in:
6
The effectiveness of
Value-at-Risk
models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
7
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
8
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
9
Comparison of Block Maxima and Peaks Over Threshold
Value-at-Risk
models for market risk in various economic conditions
Szubzda, Filip
;
Chlebus, Marcin
- In:
Central European economic journal
6
(
2019
)
53
,
pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...
Persistent link: https://www.econbiz.de/10012302139
Saved in:
10
Old-fashioned parametric models are still the best : a comparison of
Value-at-Risk
approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2019
Persistent link: https://www.econbiz.de/10012041611
Saved in:
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