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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
Guermat, Cherif; Harris, Richard D. F. - In: International journal of forecasting 18 (2002) 3, pp. 409-419
Persistent link: https://www.econbiz.de/10001690084
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Extreme value theory and value-at-risk : relative performance in emerging markets
Gençay, Ramazan; Selçuk, Faruk - In: International journal of forecasting 20 (2004) 2, pp. 287-303
Persistent link: https://www.econbiz.de/10002033493
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Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: International journal of forecasting 20 (2004) 4, pp. 629-645
Persistent link: https://www.econbiz.de/10002434305
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Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
Hoogerheide, Lennart; Dijk, Herman K. van - In: International journal of forecasting 26 (2010) 2, pp. 231-247
Persistent link: https://www.econbiz.de/10003980297
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Decay factor optimisation in time weighted simulation : evaluating VaR performance
Žiković, Saša; Aktan, Bora - In: International journal of forecasting 27 (2011) 4, pp. 1147-1159
Persistent link: https://www.econbiz.de/10009316799
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Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage
Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10010243650
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The two-sided Weibull distribution and forecasting financial tail risk
Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547
Persistent link: https://www.econbiz.de/10010212495
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Ranking the predictive performances of Value-at-Risk estimation methods
Şener, Emrah; Baronyan, Sayad; Mengütürk, Levent Ali - In: International journal of forecasting 28 (2012) 4, pp. 849-873
Persistent link: https://www.econbiz.de/10009658302
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Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - In: International journal of forecasting 28 (2012) 3, pp. 557-574
Persistent link: https://www.econbiz.de/10009658352