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q-fin.RM2024
Financial Volatility and Risk Forecasting Incorporating a Larger Number of Realized Measures
Qianli Zhao, Chao Wang, Richard Gerlach +2
Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volati…
q-fin.RM2024
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set
Alessandra Amendola, Vincenzo Candila, Antonio Naimoli +1
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk…