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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 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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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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Liquidity-adjusted value-at-risk using extreme value theory and copula approach
Kamal, Harish; Paul, Samit - In: Journal of forecasting 43 (2024) 6, pp. 1747-1769
Persistent link: https://www.econbiz.de/10015108432
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Analyzing and forecasting electricity price using regime-switching models : the case of New Zealand market
Kapoor, Gaurav; Wichitaksorn, Nuttanan; Zhang, WenJun - In: Journal of forecasting 42 (2023) 8, pp. 2011-2026
Persistent link: https://www.econbiz.de/10014432832
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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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Multiple hypothesis testing of market risk forecasting models
Esposito, Francesco P.; Cummins, Mark - In: Journal of forecasting 35 (2016) 5, pp. 381-399
Persistent link: https://www.econbiz.de/10011580778
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Bayesian assessment of dynamic quantile forecasts
Gerlach, Richard; Chen, Cathy W. S.; Lin, Edward M. H. - In: Journal of forecasting 35 (2016) 8, pp. 751-764
Persistent link: https://www.econbiz.de/10011633826
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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