scholarly journals The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting

2011 ◽  
Author(s):  
Dimitrios P. Louzis ◽  
Spyros Xanthopoulos-Sisinis ◽  
Apostolos N. Refenes
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Implied Volatility ◽  
Daily Range ◽  
Daily Data ◽  
Risk Forecasting

scholarly journals The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 561-576 ◽  
Author(s):  
Dimitrios P. Louzis ◽  
Spyros Xanthopoulos-Sisinis ◽  
Apostolos P. Refenes
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Implied Volatility ◽  
Daily Range ◽  
Daily Data ◽  
Risk Forecasting

scholarly journals Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

2012 ◽  
Author(s):  
Christopher J. Adcock ◽  
Nelson Areal ◽  
Benilde Oliveira
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Historical Simulation ◽  
Risk Forecasting

scholarly journals Data Driven Value-at-Risk Forecasting Using a SVR-GARCH-KDE Hybrid

2017 ◽  
Author(s):  
Marius Lux ◽  
Wolfgang K. HHrdle ◽  
Stefan Lessmann
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Data Driven ◽  
Risk Forecasting

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

scholarly journals The time-varying role of timberland in long-term, mixed-asset portfolios under the mean conditional value-at-risk framework

2020 ◽  
Vol 113 ◽  
pp. 102136
Author(s):  
Hector Restrepo ◽  
Weiyi Zhang ◽  
Bin Mei
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Time Varying ◽  
Risk Framework ◽  
The Mean

Value at risk, cross-sectional returns and the role of investor sentiment

2020 ◽  
Vol 56 ◽  
pp. 1-18 ◽  
Author(s):  
Jia Bi ◽  
Yifeng Zhu
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Investor Sentiment ◽  
Cross Sectional

Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework

2015 ◽  
Vol 50 ◽  
pp. 118-126 ◽  
Author(s):  
Yang Wan ◽  
Michael L. Clutter ◽  
Bin Mei ◽  
Jacek P. Siry
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Risk Framework ◽  
The Mean

Robust value-at-risk forecasting of Karachi Stock Exchange

2017 ◽  
Vol 7 (2) ◽  
pp. 130
Author(s):  
Farhat Iqbal
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Forecasting

Portfolio value-at-risk forecasting with GA-based extreme value theory

2009 ◽  
Vol 36 (2) ◽  
pp. 2503-2512 ◽  
Author(s):  
Ping-Chen Lin ◽  
Po-Chang Ko
Keyword(s):  
At Risk ◽  
Extreme Value Theory ◽  
Value At Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Risk Forecasting
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