Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
From MaRDI portal
Publication:2127364
DOI10.1007/s10287-021-00412-wOpenAlexW3189155178MaRDI QIDQ2127364
Massimiliano Frezza, Sergio Bianchi, Augusto Pianese
Publication date: 20 April 2022
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-021-00412-w
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Volatility comovement: a multifrequency approach
- Estimation and pricing under long-memory stochastic volatility
- Future perspectives in risk models and finance
- Continuous Gaussian multifractional processes with random pointwise Hölder regularity
- Continuous cascade models for asset returns
- Identification of multifractional Brownian motion
- Wavelet construction of generalized multifractional processes
- Estimating the dimension of a model
- Identifying the multifractional function of a Gaussian process
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Long-range correlations and nonstationarity in the Brazilian stock market
- Multifractal value at risk model
- Fractional {O}rnstein-{U}hlenbeck processes
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
- Multifractional processes with random exponent
- Coherent Measures of Risk
- Stochastic Volatility and Multifractional Brownian Motion
- Multifractional processes in finance
- Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models
- MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
- The Long Memory of the Efficient Market
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- The Volatility of Realized Volatility
- Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
- Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive Conditional Density Estimation
- Fast and unbiased estimator of the time-dependent Hurst exponent
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- The Distribution of Realized Exchange Rate Volatility
- HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Identification of the Hurst index of a step fractional Brownian motion
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
