BOUADDI, Mohammed; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007
, conditional heteroskedasticity,
asymetry, heavy tails, value at risk.
JEL Clasification: C1, C2, C52 …
The out of sample performance is evaluated by one step ahead daily value at risk (VaR)
forecasts obtained using parameter … (2006): “Value-at-Risk Prediction: A Com-
parison of Alternative Strategies,” Journal of Financial Econometrics, 4, 53 …