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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Multivariate volatility forecasts for stock market indices
Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
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Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu; Lin, Jin-Guan; Hao, Hong-Xia - In: International journal of forecasting 39 (2023) 4, pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
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Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586
Persistent link: https://www.econbiz.de/10012792854