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Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias; Herwartz, Helmut - 2015
Persistent link: https://www.econbiz.de/10011717132
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019
Persistent link: https://www.econbiz.de/10012064776
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
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Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 14 (2020) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
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Large-dimensional portfolio selection with a high-frequency-based dynamic factor model
Tranberg Bodilsen, Simon - 2025
Persistent link: https://www.econbiz.de/10015339181
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Realized quantity extended conditional autoregressive value-at-risk models
Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63
Persistent link: https://www.econbiz.de/10014487299
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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Score driven exponentially weighted moving average and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2014
dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
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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