Title | Journal | Journal Categories | Citations | Publication Date |
---|---|---|---|---|
Tail risk forecasting with semiparametric regression models by incorporating overnight information | Journal of Forecasting |
| 2024 | |
Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach | Journal of Forecasting |
| 2024 | |
Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures | Journal of Forecasting |
| 2024 | |
New runs‐based approach to testing value at risk forecasts | Journal of Forecasting |
| 2024 | |
Predicting tail risks by a Markov switching MGARCH model with varying copula regimes | Journal of Forecasting |
| 2024 |