Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations-Reference-Cited by-同舟云学术

Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

Published:2014-09-12 Issue:7 Volume:33 Page:515-531
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Dendramis Yiannis¹,Spungin Giles E.²,Tzavalis Elias¹

Affiliation:

1. Department of Economics; Athens University of Economics and Business; Athens Greece

2. School of Economics and Finance, Queen Mary; University of London; UK

Publisher

Wiley

Subject

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

Reference40 articles.

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3. Anyfantaki S Demos A 2012 Estimation and properties of a time-varying EGARCH(1,1)-M model

4. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR;Bali;Journal of Banking and Finance,2008

5. Estimation of value-at-risk by extreme value and conventional methods: a comparative evaluation of their predictive performance;Bekiros;International Financial Markets, Instruments and Money,2005

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