Generalized value at risk forecasting

DOI10.1080/03610926.2019.1610443MaRDI QIDQ5078005zbMATH OpenOpenAlexWikidataFDO

Authors A. Thavaneswaran, A. Paseka, Julieta Frank

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

data-driven modelsestimating functionsVaR forecasts

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Combining estimating functions for volatility
• Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
• Generalized duration models and optimal estimation using estimating functions

Cited in

(6)

• Forecasting compositional risk allocations
• Incorporating higher moments into value-at-risk forecasting
• 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
• Value at risk linear exponent (VARLINEX) forecasts
• Tail Sharpe ratio under generalized skew-elliptical distributions for optimal portfolio selection

This page was built for publication: Generalized value at risk forecasting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5078005)