Evaluation of volatility predictions in a VaR framework
From MaRDI portal
Publication:5001165
DOI10.1080/14697688.2015.1062122zbMath1468.91192OpenAlexW2297355131MaRDI QIDQ5001165
No author found.
Publication date: 16 July 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1062122
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- The Model Confidence Set
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Consistent ranking of volatility models
- Volatility forecast comparison using imperfect volatility proxies
- Bootstrap methods: another look at the jackknife
- Generalized autoregressive conditional heteroscedasticity
- Consistency of the stationary bootstrap under weak moment conditions
- Coherent Measures of Risk
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Microstructure Noise, Realized Variance, and Optimal Sampling
- An Introduction to Univariate GARCH Models
- Evaluating Volatility and Correlation Forecasts
- Modelling the persistence of conditional variances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Stationary Bootstrap
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- A Reality Check for Data Snooping
- Empirical properties of asset returns: stylized facts and statistical issues
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- Asymptotic Inference about Predictive Ability
- Tests of Conditional Predictive Ability
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Tests of equal forecast accuracy and encompassing for nested models
This page was built for publication: Evaluation of volatility predictions in a VaR framework
