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Numerical Comparison of Multivariate Models to Forecasting Risk Measures
Müller, Fernanda - 2018
We evaluated the performance of multivariate models for forecasting Value at Risk (VaR), Expected Shortfall (ES) and Expectile Value at Risk (EVaR). We used Historical Simulation (HS), Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) and copula...
Persistent link: https://www.econbiz.de/10012934132
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Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10010412236
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A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria; Gössling, Thalles Weber; … - In: Journal of forecasting 43 (2024) 3, pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
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Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10014471980