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Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

A comparison of expected shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47

Persistent link: https://www.econbiz.de/10011317189

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

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003

Persistent link: https://www.econbiz.de/10001882139

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

Persistent link: https://www.econbiz.de/10001788591

Value-at-risk prediction : a comparison of alternative strategies

Kuester, Keith; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 53-89

Persistent link: https://www.econbiz.de/10003313345

Accurate Value-at-Risk forecast with the (good old) normal-GARCH model

Hartz, Christoph (contributor); Mittnik, Stefan (contributor) - 2006

Persistent link: https://www.econbiz.de/10003446373

Comparison of Value at Risk (VaR) multivariate forecast models

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110

Persistent link: https://www.econbiz.de/10014471980

Comparison of risk forecasts for cryptocurrencies : a focus on Range Value at Risk

Müller, Fernanda Maria; Santos, Samuel Solgon; … - In: Finance research letters 48 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013463260