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Semiparametric estimation of expected shortfall and its application in finance
Fang, Yan; Li, Jian; Liu, Yinglin; Zhao, Yunfan - In: Journal of forecasting 42 (2023) 4, pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
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Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Forecasting high-frequency risk measures
Banulescu, Denisa; Colletaz, Gilbert; Hurlin, Christophe; … - In: Journal of forecasting 35 (2016) 3, pp. 224-249
Persistent link: https://www.econbiz.de/10011580273
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Singular spectrum analysis for value at risk in stochastic volatility models
Arteche, Josu; García-Enríquez, Javier - In: Journal of forecasting 41 (2022) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10012796265
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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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New runs-based approach to testing value at risk forecasts
Małecka, Marta - In: Journal of forecasting 43 (2024) 6, pp. 2021-2041
Persistent link: https://www.econbiz.de/10015110360
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Forecasting the high-frequency volatility based on the LSTM-HIT model
Liu, Guangying; Zhuang, Ziyan; Wang, Min - In: Journal of forecasting 43 (2024) 5, pp. 1356-1373
Persistent link: https://www.econbiz.de/10015108388