Search Results for author:
Found 3 papers, 0 papers with code
A multivariate semi-parametric portfolio risk optimization and forecasting framework
We develop a novel multivariate semi-parametric modelling approach to portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting.
Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting.
Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles
The proposed models are applied to 7 stock market indices and their forecasting performances are compared to those of a range of parametric, non-parametric and semi-parametric models, including GARCH, Conditional AutoRegressive Expectile (CARE), joint VaR and ES quantile regression models and simple average of quantiles.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
