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The geometric-VaR backtesting method

Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745

Persistent link: https://www.econbiz.de/10011623861

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Spectral backtests of forecast distributions with application to risk management

Gordy, Michael B.; McNeil, Alexander J. - 2018

We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...

Persistent link: https://www.econbiz.de/10011927115

Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index

Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710

Persistent link: https://www.econbiz.de/10012312671

Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market

Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430745

Spectral backtests of forecast distributions with application to risk management

Gordy, Michael B.; McNeil, Alexander J. - In: Journal of banking & finance 116 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012489248

Tail risk of electricity futures

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518716

Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …

Persistent link: https://www.econbiz.de/10012292347

Spectral backtests unbounded and folded

Gordy, Michael B.; McNeil, Alexander J. - 2024

Persistent link: https://www.econbiz.de/10015056427

Textual risk disclosures and investors’ risk perceptions

Kravet, Todd; Muslu, Volkan - In: Review of accounting studies 18 (2013) 4, pp. 1088-1122

Persistent link: https://www.econbiz.de/10010234289