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Fuzzy Value-at-Risk Forecasts Using a Novel Data-Driven Neuro Volatility Predictive Model
6 references·1 citing·29 second hop
Fuzzy Value-at-Risk Forecasts Using a Novel Data-Driven Neuro Volatility Predictive Model (2019)Fuzzy Value-at-Risk Forecasts Using a Nov…Generalized value at risk forecasting (2019)Generalized value at risk for…Model risk of risk models (2016)Model risk of risk modelsConditional Euro Area Sovereign Default Risk (2013)Conditional Euro Area Soverei…Financial Risk Forecasting (2012)Financial Risk ForecastingA Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…A Closed-Form GARCH Option Pricing Model (1998)A Closed-Form GARCH Option Pr…Novel Data-Driven Fuzzy Algorithmic Volatility Forecasting Models with Applications to Algorithmic Trading (2020)Novel Data-Driven Fuzzy Algor…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)American option pricing under GARCH by a Markov chain approximation (2001)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)Lévy Jump Risk: Evidence from Options and Returns (2011)Dynamic Conditional Correlation (2002)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A Macroeconomic Model with a Financial Sector (2014)Risk model-at-risk (2014)Systemic risk, financial markets, and performance of financial institutions (2016)Forecasting bank failures and stress testing: A machine learning approach (2018)Robust conditional variance estimation and value-at-risk (2001)Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting (2015)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)forecast: Forecasting Functions for Time Series and Linear Models (2009)Algorithmic Trading (2013)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014)Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis (2016)Measuring sovereign contagion in Europe (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Parametric and Nonparametric Volatility Measurement (2010)NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016)On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles (2018)The requirements of cryptocurrency for money, an Islamic view (2020)
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References

  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 2013Conditional Euro Area Sovereign Default Risk167 cited
  • 2016Model risk of risk models165 cited
  • 1998A Closed-Form GARCH Option Pricing Model157 cited
  • 2012Financial Risk Forecasting103 cited
  • 2019Generalized value at risk forecasting53 cited

Cited by

  • 2020Novel Data-Driven Fuzzy Algorithmic Volatility Forecasting Models with Applications to Algorithmic Trading29 cited

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