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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140

Persistent link: https://www.econbiz.de/10011377805

Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds

Pan, Shenyi; Joe, Harry; Li, Guofu - In: Journal of financial econometrics 21 (2023) 3, pp. 714-741

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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013413442

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value …

Persistent link: https://www.econbiz.de/10013474092

A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302

Persistent link: https://www.econbiz.de/10011905725

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

. We enhance the exibility of this structure by modeling regimes with multivariate mixture copulas and by applying the … dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The most suitable dynamic dependence model in …

Persistent link: https://www.econbiz.de/10011344180

Improving predictions of technical inefficiency

Amsler, Christine Elaine; James, Robert; Prokhorov, Artem; … - In: Essays in honor of Subal Kumbhakar, (pp. 309-328). 2024

Persistent link: https://www.econbiz.de/10014560423

Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures

Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506

Persistent link: https://www.econbiz.de/10012415185

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407