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Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan; Paolella, Marc S. - In: Journal of forecasting 19 (2000) 4, pp. 313-333
Persistent link: https://www.econbiz.de/10001504659
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Selection of value-at-risk models
Sarma, Mandira; Thomas, Susan; Shah, Ajay - In: Journal of forecasting 22 (2003) 4, pp. 337-358
Persistent link: https://www.econbiz.de/10001775836
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Value at risk from econometric models and implied from currency options
Chong, James - In: Journal of forecasting 23 (2004) 8, pp. 603-620
Persistent link: https://www.econbiz.de/10002494622
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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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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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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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Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
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Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
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The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Journal of forecasting 32 (2013) 6, pp. 561-576
Persistent link: https://www.econbiz.de/10009789559