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Realized quantity extended conditional autoregressive value-at-risk models
Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63
Persistent link: https://www.econbiz.de/10014487299
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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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Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915
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Time-varying asymmetry and tail thickness in long series of daily financial returns
Mazur, Błażej; Pipień, Mateusz - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10011965380
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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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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
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Forecasting VaRs via hybrid EVT with normal and non-normal filters : a comparative analysis from the Chinese stock market
Tong, Bin; Diao, Xundi; Li, Xiaoping - In: Pacific-Basin finance journal 83 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014491148
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An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
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Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878