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High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
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Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
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Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020
Persistent link: https://www.econbiz.de/10012312856
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425
Persistent link: https://www.econbiz.de/10012155069
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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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The stock returns volatility based on the GARCH (1,1) model : the superiority of the truncated standard normal distribution in forecasting volatility
Gulay, Emrah; Emec, Hamdi - In: Iranian economic review : journal of University of Tehran 23 (2019) 1, pp. 87-108
Persistent link: https://www.econbiz.de/10012152550
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Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar; Zevallos, Mauricio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001