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Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

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

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …

Persistent link: https://www.econbiz.de/10011731521

Realized volatility forecasting based on dynamic quantile model averaging

Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020

Persistent link: https://www.econbiz.de/10012312856

An experiment on autoregressive and threshold autoregressive models with non-gaussian error with application to realized volatility

Zhang, Ziyi; Li, Wai Keung - In: Economies : open access journal 7 (2019) 2/58, pp. 1-11

structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma … random error is proposed to cater for the non-negativity of the realized volatility. With many good properties, such as … on empirical realized volatility data of 30 stocks, where one third of the cases are fitted quite well, suggesting that …

Persistent link: https://www.econbiz.de/10012021585

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

The empirical performance of option based densities of foreign exchange

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

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

The empirical performance of option based densities of foreign exchange

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

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

The empirical performance of option-based densities of foreign exchange

Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542714