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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting
Capera Romero, Laura; Opschoor, Anne - 2024
volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …
Persistent link: https://www.econbiz.de/10015064180
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Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2024
We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...
Persistent link: https://www.econbiz.de/10015133653
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …
Persistent link: https://www.econbiz.de/10010362975
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010259630
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Getting the most out of macroeconomic information for predicting stock returns and volatility
Çakmaklı, Cem; Dijk, Dick van - 2010
Persistent link: https://www.econbiz.de/10008771807