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Forecasting value at risk with intra-day return curves
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Forecasting value at risk with intra-day return curves (2020)Forecasting value at risk with intra-day …GARCH Models: Structure, Statistical Inference and Financial Applications (2019)GARCH Models: Structure, Stat…Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)Modelling daily Value-at-Risk…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyEstimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Intra-day co-movements of crude oil futures: China and the international benchmarks (2021)Intra-day co-movements of cru…Generalized autoregressive conditional heteroskedasticity (1986)CAViaR (2004)CoVaR (2016)Elicitation of Personal Probabilities and Expectations (1971)Probabilistic Forecasts, Calibration and Sharpness (2007)Making and Evaluating Point Forecasts (2011)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Applications of deep learning in stock market prediction: Recent progress (2021)Machine learning in the Chinese stock market (2021)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 2002Estimating quadratic variation using realized variance618 cited
  • 2012Elements of Financial Risk Management436 cited
  • 2019GARCH Models: Structure, Statistical Inference and Financial Applications

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431 cited
  • 2004Modelling daily Value-at-Risk using realized volatility and ARCH type models399 cited
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    • 2021Intra-day co-movements of crude oil futures: China and the international benchmarks54 cited