Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions

2020 ◽  
Author(s):  
Lu Ou ◽  
Zhibiao Zhao
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting ◽  
Exponential Power

Generalized value at risk forecasting

2019 ◽  
Vol 49 (20) ◽  
pp. 4988-4995 ◽  
Author(s):  
Aerambamoorthy Thavaneswaran ◽  
Alex Paseka ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting

Accurate value-at-risk forecasting based on the normal-GARCH model

2006 ◽  
Vol 51 (4) ◽  
pp. 2295-2312 ◽  
Author(s):  
Christoph Hartz ◽  
Stefan Mittnik ◽  
Marc Paolella
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Garch Model ◽  
Risk Forecasting

Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 534-550 ◽  
Author(s):  
Richard Gerlach ◽  
Zudi Lu ◽  
Hai Huang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Laplace Distribution ◽  
Risk Forecasting

Generalized Value at Risk Forecasting

2018 ◽  
Author(s):  
Alex Paseka ◽  
A. Thavaneswaran ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting

Multifractality and value-at-risk forecasting of exchange rates

2014 ◽  
Vol 401 ◽  
pp. 71-81 ◽  
Author(s):  
Jonathan A. Batten ◽  
Harald Kinateder ◽  
Niklas Wagner
Keyword(s):  
At Risk ◽  
Exchange Rates ◽  
Value At Risk ◽  
Risk Forecasting
Sign in / Sign up

Export Citation Format

Share Document