Improving the value at risk forecasts: theory and evidence from the financial crisis
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Publication:310964
DOI10.1016/J.JEDC.2011.10.005zbMATH Open1345.91084OpenAlexW3124459826MaRDI QIDQ310964FDOQ310964
Authors: Roxana Halbleib, Winfried Pohlmeier 
Publication date: 28 September 2016
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-290119
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Cites Work
- Regression Quantiles
- Global optimization of statistical functions with simulated annealing
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Elements of financial risk management. With CD-ROM.
Cited In (19)
- Incorporating higher moments into value-at-risk forecasting
- Measurement of bivariate risks by the north-south quantile points approach
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Value-at-risk under market shifts through highly flexible models
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- A decision rule to minimize daily capital charges in forecasting value-at-risk
- Value-at-Risk Prediction: A Comparison of Alternative Strategies
- A theoretical framework incorporating the basic convergence effect in the value-at-risk model
- Measuring the market risk of freight rates: a forecast combination approach
- Accuracy of mortgage portfolio risk forecasts during financial crises
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
- Realized Quantiles*
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- A joint quantile and expected shortfall regression framework
- Information content of liquidity and volatility measures
- Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
- A quasi-Bayesian model averaging approach for conditional quantile models
- High frequency-based quantile forecast and combination: an application to oil market
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
Uses Software
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