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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
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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 - 2025
Persistent link: https://www.econbiz.de/10015374491
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A dynamic conditional approach to portfolio weights forecasting
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020
Persistent link: https://www.econbiz.de/10012418423
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A dynamic conditional approach to forecasting portfolio weights
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126
Persistent link: https://www.econbiz.de/10012794818
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Do high-frequency data improve multivariate volatility forecasting for investors with different investment horizons?
Yu, Limin; Huang, Zhuo - 2022
Persistent link: https://www.econbiz.de/10015053841
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … information improves Value-at-Risk and Expected Shortfall forecasts as compared to popular tail risk forecasting methods. Under an …
Persistent link: https://www.econbiz.de/10013214142
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Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - 2017
Persistent link: https://www.econbiz.de/10011763135
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Hands-On Value-at-Risk and expected shortfall : a practical primer
Auer, Martin - 2018
1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...
Persistent link: https://www.econbiz.de/10013341689
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Long-run wavelet-based correlation for financial time series
Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696
Persistent link: https://www.econbiz.de/10011890368