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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142

Forecasting tail risk measures for financial time series : an extreme value approach with covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50

Persistent link: https://www.econbiz.de/10014292519

Some results on testing for stationarity using data detrended in differences

Schmidt, Peter - In: Economics letters 41 (1993) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10001144028

Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?

Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991

Persistent link: https://www.econbiz.de/10000828125

Testing for a unit root in the presence of deterministic trends

Schmidt, Peter; Phillips, Peter C. B. - 1989 - Rev.

Persistent link: https://www.econbiz.de/10000791222

On the power of point optimal tests of the trend stationarity hypothesis

Hwang, Jaeyoun - In: Economics letters 43 (1993) 2, pp. 143-147

Persistent link: https://www.econbiz.de/10001153574

Unit root tests based on instrumental variables estimation

Lee, Junsoo - In: International economic review 35 (1994) 2, pp. 449-462

Persistent link: https://www.econbiz.de/10001164416

The KPSS stationarity test as a unit root test

Shin, Yongcheol - In: Economics letters 38 (1992) 4, pp. 387-392

Persistent link: https://www.econbiz.de/10001125470

Extended tabulations for Dickey-Fuller tests

Guilkey, David K. - In: Economics letters 31 (1989) 4, pp. 355-357

Persistent link: https://www.econbiz.de/10001080238

A minimum distance estimator for long-memory processes

Tieslau, Margie A. - In: Journal of econometrics 71 (1996) 1, pp. 249-264

Persistent link: https://www.econbiz.de/10001194734

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