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Tales from tails : on the empirical distributions of forecasting errors and their implication to risk

Spiliotis, Evangelos; Nikolopoulos, Konstantinos; … - In: International journal of forecasting 35 (2019) 2, pp. 687-698

Persistent link: https://www.econbiz.de/10012300716

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139

Pricing and hedging wind power prediction risk with binary option contracts

Thakur, Jagruti; Hesamzadeh, Mohammad Reza; Date, Paresh; … - In: Energy economics 126 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014483492

Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244

Persistent link: https://www.econbiz.de/10014326299

Stock returns and volatility

Baillie, Richard - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 2, pp. 203-214

Persistent link: https://www.econbiz.de/10001089784

Risk behavior and rational expectations in the US broiler market

Aradhyula, Satheesh V. - In: American journal of agricultural economics 71 (1989) 4, pp. 892-902

Persistent link: https://www.econbiz.de/10001080106

Nonparametric bootstrap tests for independence of generalized errors

Du, Zaichao - In: The econometrics journal 19 (2016) 1, pp. 55-83

Persistent link: https://www.econbiz.de/10011487609

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …

Persistent link: https://www.econbiz.de/10012131511

Bidirectional linkage between inflation and inflation uncertainty : the case of Eastern European countries

Živkov, Dejan; Njegic, Jovan; Pecanac, Marko - In: Baltic journal of economics 14 (2014) 1/2, pp. 124-139

choosing an optimal Generalized Autoregressive Conditional Heteroskedasticity- (GARCH) type model. Subsequently, inflation and …

Persistent link: https://www.econbiz.de/10011890489

Systematic risk and volatility skew

Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87

Persistent link: https://www.econbiz.de/10011625535