Oil tail-risk forecasts: from financial crisis to COVID-19
Author:
Publisher
Springer Science and Business Media LLC
Subject
Strategy and Management,Economics and Econometrics,Finance,Business and International Management
Link
https://link.springer.com/content/pdf/10.1057/s41283-022-00100-2.pdf
Reference74 articles.
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3. Andersen, T.G., and T. Bollerslev. 1998. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review 39: 885–905. https://doi.org/10.2307/2527343.
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5. Baillie, R.T., T. Bollerslev, and H.O. Mikkelsen. 1996. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74: 3–30. https://doi.org/10.1016/S0304-4076(95)01749-6.
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1. Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall;Annals of Operations Research;2023-05-17
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