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ECONIS (ZBW)
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1
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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2
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
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3
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
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4
Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard
;
Lu, Zu-di
;
Huang, Hai
- In:
Journal of forecasting
32
(
2013
)
6
,
pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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5
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
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6
Forecasting with specification‐switching VARs
Hwang, Youngjin
- In:
Journal of forecasting
36
(
2017
)
5
,
pp. 581-596
Persistent link: https://www.econbiz.de/10011860701
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7
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Trucíos, Carlos
;
Taylor, James W.
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 989-1007
Persistent link: https://www.econbiz.de/10014292894
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8
Predicting tail risks by a Markov switching MGARCH model with varying copula regimes
Fülle, Markus J.
;
Herwartz, Helmut
- In:
Journal of forecasting
43
(
2024
)
6
,
pp. 2163-2186
Persistent link: https://www.econbiz.de/10015110378
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9
Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk forecasting
Saulo, Helton
;
Pal, Suvra
;
Souza, Rubens
;
Vila, Roberto
; …
- In:
Journal of forecasting
44
(
2025
)
2
,
pp. 589-605
Persistent link: https://www.econbiz.de/10015374068
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10
Modeling and forecasting percent changes in national park visitation using social media
Goebel, Russell
;
Schmaltz, Austin
;
Brackett, Beth Ann
; …
- In:
Journal of forecasting
42
(
2023
)
6
,
pp. 1502-1518
Persistent link: https://www.econbiz.de/10014338945
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