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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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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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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 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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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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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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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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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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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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Using CAViaR models with implied volatility for value-at-risk estimation
Jeon, Jooyoung; Taylor, James W. - In: Journal of forecasting 32 (2013) 1, pp. 62-74
Persistent link: https://www.econbiz.de/10009758719