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Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias; Weiß, Gregory N. F.; Ziggel, Daniel - In: Journal of risk 20 (2017/2018) 5, pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
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Comparing multivariate volatility forecasts by direct and indirect approaches
Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57
Persistent link: https://www.econbiz.de/10011799128
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Wavelet decompostion and applied portfolio management
Berger, Theo - In: Journal of risk 18 (2015/2016) 4, pp. 53-77
Persistent link: https://www.econbiz.de/10011578387
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A new dynamic hedging model with futures : the Kalman filter error-correction model
Wang, Chien-Ho; Lin, Chang-Ching; Lin, Shu-Hui; Lai, Hung-Yu - In: Journal of risk 22 (2019/2020) 4, pp. 61-78
Persistent link: https://www.econbiz.de/10012297511
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Forecasting the European Monetary Union equity risk premium with regression trees
Cortés, David; Soriano, Pilar - In: Journal of risk 24 (2022) 6, pp. 1-23
Persistent link: https://www.econbiz.de/10013549665
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Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu; Mei, Xueting; Yin, Xuebao - In: Journal of risk 25 (2023) 5, pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
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Range-based volatility forecasting : a multiplicative component conditional autoregressive range model
Xie, Haibin - In: Journal of risk 22 (2019/2020) 5, pp. 43-65
Persistent link: https://www.econbiz.de/10012421687
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Forecasting Bitcoin returns : is there a role for the US-China trade war?
Plakandaras, Vasilios; Bouri, Elie; Gupta, Rangan - In: Journal of risk 23 (2020/2021) 3, pp. 75-93
Persistent link: https://www.econbiz.de/10012500303
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Forecasting corporate defaults in the German stock market
Mertens, Richard Lennart; Poddig, Thorsten; Fieberg, … - In: Journal of risk 20 (2017/2018) 6, pp. 29-54
Persistent link: https://www.econbiz.de/10011962407
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Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines
Tsakonas, Stefanos; Hanias, Michael; Magafas, Lykourgos; … - In: Journal of risk 24 (2022) 5, pp. 33-49
Persistent link: https://www.econbiz.de/10014546349