Similar Search Results

Virtual Historical Simulation for estimating the conditional VaR of large portfolios

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380

Persistent link: https://www.econbiz.de/10012482777

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

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

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

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

Element-by-element estimation of a volatility matrix : an Italian portfolio simulation

Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43

Persistent link: https://www.econbiz.de/10010512185

On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations

Chen, Cathy W. S.; Than-Thi, Hong; Asai, Manabu - In: Computational economics 58 (2021) 2, pp. 413-433

Persistent link: https://www.econbiz.de/10012615031

Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152

Persistent link: https://www.econbiz.de/10011556809

A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012659611

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2022

Persistent link: https://www.econbiz.de/10013399810

1
2
3
4
5
6
7
8
9
10
Next
Last