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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 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 VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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Tail risk forecasting with semiparametric regression models by incorporating overnight information
Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512
Persistent link: https://www.econbiz.de/10015108416
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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 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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Predictable return distributions
Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10011305289
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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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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 stock returns with industry volatility concentration
Zhang, Yaojie; He, Mengxi; Zhang, Zhikai - In: Journal of forecasting 43 (2024) 7, pp. 2705-2730
Persistent link: https://www.econbiz.de/10015110540