Narrow search
Showing 1 - 10 of 1,702
Cover Image
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Cover Image
A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
Cover Image
Estimating hedged portfolio value-at-risk using the conditional copula : an illustration of model risk
Chen, Yi-Hsuan; Tu, Anthony H. - In: International review of economics & finance : IREF 27 (2013), pp. 514-528
Persistent link: https://www.econbiz.de/10009740775
Cover Image
Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations
Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020
, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …
Persistent link: https://www.econbiz.de/10012542685
Cover Image
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Cover Image
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Cover Image
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Cover Image
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
Cover Image
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020
Persistent link: https://www.econbiz.de/10012312856
Cover Image
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251