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ArticleValue at risk forecasts by extreme value models in a conditional duration framework

Rodrigo Herrera2013

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Articlegreen2013

Value at risk forecasts by extreme value models in a conditional duration framework

Rodrigo Herrera · Bernhard Schipp

39 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

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References

1998Evaluating Interval Forecasts 2004CAViaR 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies 2009Evaluating Value-at-Risk Models with Desk-Level Data

Cited by

2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 2017Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events 2014The modeling and forecasting of extreme events in electricity spot markets 2017Point process models for extreme returns: Harnessing implied volatility 2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile

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Year2013

Typearticle

Published2013-05-14

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations39

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2013.05.002

openalex_workW2025748639

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