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Modelling extreme risks in commodities and commodity currencies

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - 2016

Persistent link: https://www.econbiz.de/10011777185

A marked point process model for intraday financial returns : modeling extreme risk

Herrera, Rodrigo; Clements, Adam - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1575-1601

Persistent link: https://www.econbiz.de/10012219662

Modeling extreme risks in commodities and commodity currencies

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: Pacific-Basin finance journal 51 (2018), pp. 108-120

Persistent link: https://www.econbiz.de/10012035118

Mutual excitation between OECD stock and oil markets : a conditional intensity extreme value approach

Herrera, Rodrigo; González, Sergio; Clements, Adam - In: The North American journal of economics and finance : a … 46 (2018), pp. 70-88

Persistent link: https://www.econbiz.de/10012036606

Forecasting extreme financial risk : a score-driven approach

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735

Persistent link: https://www.econbiz.de/10014465107

A Bayesian approach for more reliable tail risk forecasts

Li, Dan; Clements, Adam; Drovandi, Christopher - In: Journal of financial stability 64 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014284929

Reducing the Risk in Tail Risk Forecasting Models

Clements, Adam; Drovandi, Chris; Li, Dan - 2021

This paper demonstrates that existing quantile regression models used for forecasting Value-at-Risk (VaR) and expected shortfall (ES) are sensitive to initial conditions. A Bayesian quantile regression approach is proposed for estimating joint VaR and ES models. By treating the initial values as...

Persistent link: https://www.econbiz.de/10013242312