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Multiple-period market risk prediction under long memory : when VaR is higher than expected
Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32
Persistent link: https://www.econbiz.de/10010252220
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
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Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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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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Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail : further evidence from equity market
Huang, Yirong; Luo, Yi - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014534834
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Forecasting the term structure of volatility of crude oil price changes
Balaban, Ercan; Lu, Shan - In: Economics letters 141 (2016), pp. 116-118
Persistent link: https://www.econbiz.de/10011616200
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Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - 2015
Persistent link: https://www.econbiz.de/10010497517
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Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches
Fan, Minyou; Li, Youwei; Liu, Jiadong - In: Research in international business and finance 46 (2018), pp. 131-140
Persistent link: https://www.econbiz.de/10011983588
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Share price time series forecasting for effective supply chain information exchange
Ayyanathan, N.; Kannammal, A. - In: International journal of logistics systems and management 18 (2014) 1, pp. 139-158
Persistent link: https://www.econbiz.de/10010480207