Ranking the predictive performances of value-at-risk estimation methods

2012/03/21 by Emrah Şener, Sayad Baronyan, Levent Ali Mengütürk
Decision Sciences · Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Forecasting Techniques and Applications #Monetary Policy and Economic Impact

paper · doi:10.1016/j.ijforecast.2011.10.002

openalex publication_date 2012/03/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Citations

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroskedasticity
• A Test for Superior Predictive Ability
• The Behavior of Stock-Market Prices
• CAViaR
• The Variation of Certain Speculative Prices
• Regression Quantiles