A moments-based procedure for evaluating risk forecasting models

The Analytics of Risk Model Validation ◽

10.1016/b978-075068158-2.50007-x ◽

2008 ◽

pp. 45-58

Author(s):

Kevin Dowd

Keyword(s):

Forecasting Models ◽

Risk Forecasting

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Multiple Hypothesis Testing of Market Risk Forecasting Models

SSRN Electronic Journal ◽

10.2139/ssrn.2617146 ◽

2015 ◽

Author(s):

Francesco Paolo Esposito ◽

Mark Cummins

Keyword(s):

Hypothesis Testing ◽

Market Risk ◽

Multiple Hypothesis Testing ◽

Forecasting Models ◽

Multiple Hypothesis ◽

Risk Forecasting

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Impact of digital technologies on reliability of risk forecasting models – case study of enterprises in three global financial market regions

10.4324/9781003199076-5 ◽

2021 ◽

pp. 93-120

Author(s):

Tomasz Korol

Keyword(s):

Financial Market ◽

Digital Technologies ◽

Forecasting Models ◽

Risk Forecasting

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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Economic Modelling ◽

10.1016/j.econmod.2021.105701 ◽

2021 ◽

pp. 105701

Author(s):

Antonio Naimoli ◽

Richard Gerlach ◽

Giuseppe Storti

Keyword(s):

Realized Volatility ◽

Tail Risk ◽

Forecasting Models ◽

Risk Forecasting

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Risk forecasting models and optimal portfolio selection

Applied Economics ◽

10.1080/00036840500109142 ◽

2005 ◽

Vol 37 (11) ◽

pp. 1267-1281 ◽

Author(s):

David Moreno * ◽

Paulina Marco ◽

Ignacio Olmeda

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Forecasting Models ◽

Risk Forecasting ◽

Optimal Portfolio Selection

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Multiple Hypothesis Testing of Market Risk Forecasting Models

Journal of Forecasting ◽

10.1002/for.2381 ◽

2016 ◽

Vol 35 (5) ◽

pp. 381-399 ◽

Author(s):

Francesco P. Esposito ◽

Mark Cummins

Keyword(s):

Hypothesis Testing ◽

Market Risk ◽

Multiple Hypothesis Testing ◽

Forecasting Models ◽

Multiple Hypothesis ◽

Risk Forecasting

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MODERN RISK FORECASTING MODELS IN THE COMPANY

REPORTS ◽

10.32014/2020.2518-1483.110 ◽

2020 ◽

Vol 4 (332) ◽

pp. 206-213

Author(s):

K. Satymbekova ◽

◽

B. Nurmaganbetova ◽

A. Makenova ◽

Zh. Basshieva ◽

...

Keyword(s):

Forecasting Models ◽

Risk Forecasting

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Reducing the risk in tail risk forecasting models

SSRN Electronic Journal ◽

10.2139/ssrn.3750440 ◽

2020 ◽

Author(s):

Adam Clements ◽

Chris Drovandi ◽

Dan Li

Keyword(s):

Tail Risk ◽

Forecasting Models ◽

Risk Forecasting

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Evaluating Political Risk Forecasting Models: What Works?

Thunderbird International Business Review ◽

10.1002/tie.21635 ◽

2014 ◽

Vol 56 (4) ◽

pp. 305-316 ◽

Author(s):

Llewellyn D. Howell

Keyword(s):

Political Risk ◽

Forecasting Models ◽

Risk Forecasting

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Evaluation of Monthly Portfolio Value-at-Risk Forecasting Models

Korean Journal of Financial Studies ◽

10.26845/kjfs.2017.09.46.4.901 ◽

2017 ◽

Vol 46 (4) ◽

pp. 901-946

Author(s):

Jae Jin Park

Keyword(s):

At Risk ◽

Value At Risk ◽

Forecasting Models ◽

Risk Forecasting

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An Empirical Analysis of Value-at-Risk Forecasting Models

SSRN Electronic Journal ◽

10.2139/ssrn.2481817 ◽

2014 ◽

Author(s):

Colin Bowers ◽

Chris Heaton

Keyword(s):

At Risk ◽

Empirical Analysis ◽

Value At Risk ◽

Forecasting Models ◽

Risk Forecasting

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