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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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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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Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies
Fiszeder, Piotr; Małecka, Marta; Molnár, Peter - In: Economic modelling 141 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015191454
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A generalized constant elasticity of volatility and correlation ratio (CEVC) model : empirical evidence and application for portfolio optimization
Escobar, Marcos - In: Economic modelling 147 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015438342
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Mixed data sampling expectile regression with applications to measuring financial risk
Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486
Persistent link: https://www.econbiz.de/10012429122
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On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
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The role of uncertainty in forecasting volatility comovements across stock markets
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - In: Economic modelling 125 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014463541
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Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849