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Evaluation and Combination of Conditional Quantile Forecasts

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Cited by

2018On the Comparison of Interval Forecasts53 cited
2017Combining Value-at-Risk forecasts using penalized quantile regressions43 cited
2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility43 cited
2020Forecasting value at risk and expected shortfall with mixed data sampling42 cited
2012Currency hedging strategies using dynamic multivariate GARCH34 cited
2012Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk26 cited