Volatility specifications versus probability distributions in VaR forecasting-Reference-Cited by-同舟云学术

Volatility specifications versus probability distributions in VaR forecasting

Published:2020-07-15 Issue:2 Volume:40 Page:189-212
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Garcia‐Jorcano Laura¹^ORCID,Novales Alfonso²^ORCID

Affiliation:

1. Department of Economic Analysis and Finance (Area of Financial Economics) Facultad de Ciencias Jurídicas y Sociales, Universidad de Castilla–La Mancha Toledo Spain

2. Instituto Complutense de Análisis Económico (ICAE) and Department of Quantitative Economics, Facultad de Ciencias Económicas y Empresariales Universidad Complutense Campus de Somosaguas Pozuelo de Alarcon España 28223 Spain

Funder

Banco de España

Generalitat Valenciana

Ministerio de Economía y Competitividad

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2697

Reference59 articles.

1. The Generalized Hyperbolic Skew Student's t-Distribution

2. An analysis of the flexibility of Asymmetric Power GARCH models

3. Angelidis T. &Degiannakis S(2006).Backtesting VaR models: An expected shortfall approachAvailable at SSRN:https://ssrn.com/abstract=898473orhttp://dx.doi.org/10.2139/ssrn.898473

4. A robust VaR model under different time periods and weighting schemes

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