Similar Search Results

Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244

Persistent link: https://www.econbiz.de/10014326299

Climate risks and predictability of the conditional distributions of rare earth stock returns and volatility

Polat, Onur; Gupta, Rangan; Bouri, Elie; Brahim, Mariem - 2025

Persistent link: https://www.econbiz.de/10015398290

Pricing of catastrophe risk and the implied volatility smile

Ben Ammar, Semir - 2016

Persistent link: https://www.econbiz.de/10011686900

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

Persistent link: https://www.econbiz.de/10011866456

Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy

Agliardi, Elettra; Xepapadeas, Anastasios - In: Journal of economic dynamics & control 139 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013464797

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

The skewness risk premium in equilibrium and stock return predictability

Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133

Persistent link: https://www.econbiz.de/10011555439

Forecasting robust value-at-risk estimates : evidence from UK banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975

Persistent link: https://www.econbiz.de/10012696799

The uncertainty in extreme risk forecasts from covariate-augmented volatility models

Hoga, Yannick - In: International journal of forecasting 37 (2021) 2, pp. 675-686

Persistent link: https://www.econbiz.de/10012792861

Real-time macroeconomic forecasting with a heteroscedastic inversion copula

Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486

Persistent link: https://www.econbiz.de/10012262488