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Forecasting extreme financial risk: A score-driven approach · Study

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ArticleForecasting extreme financial risk: A score-driven approach

Fernanda Fuentes2022

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Articlegreen2022

Forecasting extreme financial risk: A score-driven approach

Fernanda Fuentes · Rodrigo Herrera · Adam E. Clements

21 citations·0/0 files stored·International Journal of Forecasting

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

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References

1995Comparing Predictive Accuracy 1998Evaluating Interval Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2004CAViaR 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1990Models for Exceedances Over High Thresholds

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Details

Year2022

Typearticle

Published2022-03-21

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2022.02.002

openalex_workW4293336760

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