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Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …), and a detailed forecasting and backtesting investigation is performed. …
Persistent link: https://www.econbiz.de/10012591721
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The impact of extreme events on portfolio in financial risk management
Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017
Persistent link: https://www.econbiz.de/10011802012
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Multi-period portfolio selection with drawdown control
Nystrup, Peter; Boyd, Stephen P.; Lindström, Erik; … - In: Application of operations research to financial markets, (pp. 245-271). 2019
Persistent link: https://www.econbiz.de/10012157466
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Implicit quantiles and expectiles
Bellini, Fabio; Rroji, Edit; Sala, Carlo - In: Risk management decisions and value under uncertainty, (pp. 733-753). 2022
Persistent link: https://www.econbiz.de/10013342040
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Investigating the day-of-the-week effect on bitcoin returns
Bursa, Nurbanu - In: Cryptocurrencies in all aspects, (pp. 207-214). 2019
Persistent link: https://www.econbiz.de/10012108574
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Chinese outbound tourism demand to Singapore, Malaysia and Thailand destinations : a study of political events and holiday impacts
Liu, Jianxu; Duangthip Sirikanchanarak; Xie, Jiachun; … - In: Robustness in econometrics, (pp. 449-469). 2017
Persistent link: https://www.econbiz.de/10011801772
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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A survey of recent theoretical results for time series models with GARCH errors
Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000
Persistent link: https://www.econbiz.de/10001684387
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The search for chaos and nonlinearities in Swedish stock index returns
Amilon, Henrik - In: Essays on financial models, (pp. 9-36). 2000
Persistent link: https://www.econbiz.de/10001551217
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Asset pricing with observable stochastic discount factors
Smith, Peter N.; Wickens, Michael R. - In: Contributions to financial econometrics : theoretical …, (pp. 161-210). 2003
Persistent link: https://www.econbiz.de/10001932664