Generalized value at risk forecasting

DOI10.1080/03610926.2019.1610443OpenAlexW2945232411WikidataQ127876740 ScholiaQ127876740MaRDI QIDQ5078005FDOQ5078005

A. Paseka, Julieta Frank, A. Thavaneswaran

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1610443

zbMATH Keywords

estimating functionsdata-driven modelsVaR forecasts

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
• Combining estimating functions for volatility
• Generalized duration models and optimal estimation using estimating functions

Cited In (5)

• Incorporating higher moments into value-at-risk forecasting
• Forecasting compositional risk allocations
• Value at risk linear exponent (VARLINEX) forecasts
• A decision rule to minimize daily capital charges in forecasting value-at-risk
• Improving the value at risk forecasts: theory and evidence from the financial crisis

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