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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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Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
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Forecasting core business transformation risk using the optimal rough set and the neural network
Wang, Delu; Song, Xuefeng; Yin, Wenying; Yuan, Jingying - In: Journal of forecasting 34 (2015) 6, pp. 472-477
Persistent link: https://www.econbiz.de/10011343610
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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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A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria; Gössling, Thalles Weber; … - In: Journal of forecasting 43 (2024) 3, pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Tail risk forecasting and its application to margin requirements in the commodity futures market
Feng, Yun; Hou, Weijie; Song, Yuping - In: Journal of forecasting 43 (2024) 5, pp. 1513-1529
Persistent link: https://www.econbiz.de/10015108403
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Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748
Persistent link: https://www.econbiz.de/10015110551
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Predicting systemic risk with entropic indicators
Gradojevic, Nikola; Caric, Marko - In: Journal of forecasting 36 (2017) 1, pp. 16-25
Persistent link: https://www.econbiz.de/10011729042
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Uncertainty and forecastability of regional output growth in the UK : evidence from machine learning
Balcilar, Mehmet; Gabauer, David; Gupta, Rangan; … - In: Journal of forecasting 41 (2022) 6, pp. 1049-1064
Persistent link: https://www.econbiz.de/10013465678