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Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias; Herwartz, Helmut - 2015
Persistent link: https://www.econbiz.de/10011717132
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Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 14 (2020) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
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Large-dimensional portfolio selection with a high-frequency-based dynamic factor model
Tranberg Bodilsen, Simon - 2025
Persistent link: https://www.econbiz.de/10015339181
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Realized quantity extended conditional autoregressive value-at-risk models
Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63
Persistent link: https://www.econbiz.de/10014487299
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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Score driven exponentially weighted moving average and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2014
dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
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Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43
Persistent link: https://www.econbiz.de/10010512185
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Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90
Persistent link: https://www.econbiz.de/10012054426