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Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis

Wang, Jianzhou; Wang, Shuai; Lv, Mengzheng; Jiang, He - In: Financial innovation : FIN 10 (2024), pp. 1-35

Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However, existing VaR estimation approaches fail to accurately...

Persistent link: https://www.econbiz.de/10014530222

Does economic policy uncertainty outperform macroeconomic factor and financial market uncertainty in forecasting carbon emission price volatility? : evidence from China

Lu, Hengzhen; Gao, Qiujin; Li, Matthew C. - In: Applied economics 55 (2023) 54, pp. 6427-6443

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Frequency heterogeneity of tail connectedness : evidence from global stock markets

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Are systemic risk measures effective? : Evidence from macroeconomic downside risk prediction

Jian, Zhihong; Lu, Haisong; Zhu, Zhican - In: Applied economics letters 31 (2024) 18, pp. 1820-1827

Persistent link: https://www.econbiz.de/10015084409

Family-controlled firms and informed trading : evidence from short sales

Anderson, Ronald C.; Reeb, David M.; Zhao, Wanli - In: The journal of finance : the journal of the American … 67 (2012) 1, pp. 351-386

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The comparison study of liquidity measurements on the Chinese stock markets

Gao, Yang; Zhao, Wandi; Wang, Mingjin - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 2, pp. 483-511

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Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion

Zhao, Wandi; Gao, Yang - In: Emerging markets review 59 (2024), pp. 1-30

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An evaluation of the index of leading indicators as predictor of cyclical turning points using Markov switching model as filter

Lahiri, Kajal; Wang, Jiazhuo Georg - 1993

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The predictability of Asian exchange rates : evidence from Kalman filter and ARCH estimations

Wang, Jian-xin - In: Journal of multinational financial management 7 (1997) 3, pp. 231-252

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Order flow and the bid-ask spread : an empirical probability model of screen-based trading

Bollerslev, Tim - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1471-1491

Persistent link: https://www.econbiz.de/10001222036