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A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures

Liu, Junjie; Zhou, Qingnan; Chen, Zhenlong - In: The North American journal of economics and finance : a … 77 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015374491

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

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

Forecasting risk measures using intraday data in a generalized autoregressive score framework

Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072

Persistent link: https://www.econbiz.de/10012497719

Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

Alexander, Carol; Dakos, Michael - 2022

A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals. Yet few, if indeed any, of these are employed by practitioners. Previous academic studies produce results...

Persistent link: https://www.econbiz.de/10013292091

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models

Tomlinson, Matthew F.; Greenwood, David; … - In: International journal of forecasting 40 (2024) 1, pp. 324-347

Persistent link: https://www.econbiz.de/10014450274

Dynamic tail risk forecasting : what do realized skewness and kurtosis add?

Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione

Persistent link: https://www.econbiz.de/10015099208

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427

Persistent link: https://www.econbiz.de/10014232660

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

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

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...

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