Singular spectrum analysis for value at risk in stochastic volatility models-Reference-Cited by-同舟云学术

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Singular spectrum analysis for value at risk in stochastic volatility models

Published:2021-06-13 Issue:1 Volume:41 Page:3-16
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Arteche Josu¹,García‐Enríquez Javier¹^ORCID

Affiliation:

1. Department of Quantitative Methods University of the Basque Country UPV/EHU Bilbao Spain

Funder

Eusko Jaurlaritza

Agence Nationale de la Recherche

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2796

Reference44 articles.

1. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

2. SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY

3. Singular Spectrum Analysis for signal extraction in Stochastic Volatility models

4. Volatility measures and Value-at-Risk

5. Don't look back;Barone‐Adesi G.;Risk,1998

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1. A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war;Quality & Quantity;2024-04-15

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