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Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions

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Cited by:

  1. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
  2. Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
  3. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
  4. Saissi Hassani, Samir & Dionne, Georges, 2023. "Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation," Working Papers 23-2, HEC Montreal, Canada Research Chair in Risk Management.
  5. Benjamin Beckers & Helmut Herwartz & Moritz Seidel, 2017. "Risk forecasting in (T)GARCH models with uncorrelated dependent innovations," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 121-137, January.
  6. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
  7. Robina Iqbal & Ghulam Sorwar & Rose Baker & Taufiq Choudhry, 2020. "Multiday expected shortfall under generalized t distributions: evidence from global stock market," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 803-825, October.
  8. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
  9. Sorwar, Ghulam & Pappas, Vasileios & Pereira, John & Nurullah, Mohamed, 2016. "To debt or not to debt: Are Islamic banks less risky than conventional banks?," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 113-126.
  10. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
  11. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2013. "Pair Copula Construction based Expected Shortfall estimation," Economics Bulletin, AccessEcon, vol. 33(2), pages 1067-1072.
  12. Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
  13. Gao, Chun-Ting & Zhou, Xiao-Hua, 2016. "Forecasting VaR and ES using dynamic conditional score models and skew Student distribution," Economic Modelling, Elsevier, vol. 53(C), pages 216-223.
  14. Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "GARCH modeling of five popular commodities," Empirical Economics, Springer, vol. 48(4), pages 1691-1712, June.
  15. Rubio, Francisco Javier & Steel, Mark F. J., 2014. "Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations," MPRA Paper 57102, University Library of Munich, Germany.
  16. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
  17. Baker, Rose, 2017. "Creating new distributions by blunting cusps," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 55-63.
  18. Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  19. Stephen Thiele, 2020. "Modeling the conditional distribution of financial returns with asymmetric tails," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 46-60, January.
  20. Owusu Junior, Peterson & Tiwari, Aviral Kumar & Tweneboah, George & Asafo-Adjei, Emmanuel, 2022. "GAS and GARCH based value-at-risk modeling of precious metals," Resources Policy, Elsevier, vol. 75(C).
  21. León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
  22. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  23. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
  24. Acereda, Beatriz & Leon, Angel & Mora, Juan, 2020. "Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting," Finance Research Letters, Elsevier, vol. 33(C).
  25. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
  26. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022. "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, vol. 109(C).
  27. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, November.
  28. Lingbing Feng & Yanlin Shi, 2017. "A simulation study on the distributions of disturbances in the GARCH model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355503-135, January.
  29. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.
  30. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
  31. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
  32. Muhammad Sheraz & Imran Nasir, 2021. "Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach," Risks, MDPI, vol. 9(5), pages 1-20, May.
  33. Nadarajah, Saralees & Chan, Stephen & Afuecheta, Emmanuel, 2013. "On the characteristic function for asymmetric Student t distributions," Economics Letters, Elsevier, vol. 121(2), pages 271-274.
  34. Rehman, Mobeen Ur & Owusu Junior, Peterson & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Time-varying risk analysis for commodity futures," Resources Policy, Elsevier, vol. 78(C).
  35. Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
  36. Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
  37. Xu Wang & Xueyan Wu & Yingying Zhou, 2022. "Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model," Energies, MDPI, vol. 15(14), pages 1-21, July.
  38. Owusu Junior, Peterson & Alagidede, Imhotep, 2020. "Risks in emerging markets equities: Time-varying versus spatial risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  39. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
  40. Fabrizio Leisen & Luca Rossini & Cristiano Villa, 2020. "Loss-based approach to two-piece location-scale distributions with applications to dependent data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 309-333, June.
  41. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
  42. Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
  43. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
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