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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Hull-White's value at risk model : case study of Baltic equities market

Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041

Persistent link: https://www.econbiz.de/10011781020

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

Volatility forecast by volatility index and its use as a risk management tool under a value-at-risk approach

Siu, Yam Wing - In: Review of Pacific Basin financial markets and policies 21 (2018) 2, pp. 1-48

Persistent link: https://www.econbiz.de/10011865598

Comparison of semi-parametric and benchmark value-at-risk models in several time periods with different volatility levels

Buczyński, Mateusz; Chlebus, Marcin - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 2, pp. 67-82

-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high … volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility … periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period …

Persistent link: https://www.econbiz.de/10011967246

Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

Measuring asset market linkages : nonlinear dependence and tail risk

Escanciano, Juan Carlos; Hualde, Javier - 2017

Persistent link: https://www.econbiz.de/10011763135

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

analyse their effects on the modelling and forecasting performance. The high-frequency volatility models were validated in …

Persistent link: https://www.econbiz.de/10012018629