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Volatility forecasting for risk management

Citations

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Cited by:

  1. Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
  2. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
  3. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  4. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
  5. Felor Ghorashi & Roya Darabi, 2017. "Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 5(1), pages 44-48, March.
  6. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  7. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  8. André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
  9. Massimiliano Marzo & Paolo Zagaglia, 2010. "Volatility forecasting for crude oil futures," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1587-1599.
  10. Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2023. "Forecasting expected shortfall: Should we use a multivariate model for stock market factors?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 314-331.
  11. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
  12. Guo, Xiaozhu & Huang, Dengshi & Li, Xiafei & Liang, Chao, 2023. "Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 672-693.
  13. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  14. Sang Hoon Kang & Seong-Min Yoon, 2010. "Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns," Korean Economic Review, Korean Economic Association, vol. 26, pages 431-451.
  15. Umar, Muhammad & Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2021. "Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
  16. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
  17. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
  18. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
  19. Arturo Leccadito & Alessandro Staino & Pietro Toscano, 2024. "A novel robust method for estimating the covariance matrix of financial returns with applications to risk management," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
  20. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
  21. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
  22. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  23. M. Marzo & P. Zagaglia, 2007. "Domestic political constraints to foreign aid effectiveness," Working Papers 599, Dipartimento Scienze Economiche, Universita' di Bologna.
  24. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
  25. Hassanniakalager, Arman & Baker, Paul L. & Platanakis, Emmanouil, 2024. "A False Discovery Rate approach to optimal volatility forecasting model selection," International Journal of Forecasting, Elsevier, vol. 40(3), pages 881-902.
  26. Vasiliki D. Skintzi & Spyros Xanthopoulos-Sisinis, 2007. "Evaluation of correlation forecasting models for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 497-526.
  27. Angelidis, Timotheos & Degiannakis, Stavros, 2007. "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper 96327, University Library of Munich, Germany.
  28. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  29. Nico Katzke & Chris Garbers, 2015. "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers 06/2015, Stellenbosch University, Department of Economics.
  30. Ben Salem, Ameni & Safer, Imene & Khefacha, Islem, 2022. "Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets," MPRA Paper 113350, University Library of Munich, Germany, revised May 2022.
  31. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
  32. Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
  33. Canh Phuc Nguyen & Christophe Schinckus, 2023. "How do countries deal with global uncertainty? Domestic ability to absorb shock through the lens of the economic complexity and export diversification," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2591-2618, June.
  34. Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012. "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 245-264, October.
  35. Asgharian, Hossein & Sikström, Sverker, 2013. "Predicting Stock Price Volatility by Analyzing Semantic Content in Media," Knut Wicksell Working Paper Series 2013/16, Lund University, Knut Wicksell Centre for Financial Studies.
  36. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(2), pages 216-232, March.
  37. Felor Ghorashi & Roya Darabi, 2016. "Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 5(1), pages 44-48, March.
  38. Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013. "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3125-3144.
  39. Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque, 2017. "Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels," Computational Management Science, Springer, vol. 14(2), pages 179-196, April.
  40. Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
  41. Zagaglia, Paolo, 2014. "International portfolio allocation with European fixed-income funds: What scope for Italian funds?," MPRA Paper 57878, University Library of Munich, Germany.
  42. Narayan Tondapu, 2024. "Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs," Papers 2402.07435, arXiv.org.
  43. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  44. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 216 - 232, March.
  45. Markus J. Fülle & Helmut Herwartz, 2024. "Predicting tail risks by a Markov switching MGARCH model with varying copula regimes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2163-2186, September.
  46. Luwen Zhang & Li Wang, 2023. "Generalized Method of Moments Estimation of Realized Stochastic Volatility Model," JRFM, MDPI, vol. 16(8), pages 1-12, August.
  47. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004. "The Use of GARCH Models in VaR Estimation," MPRA Paper 96332, University Library of Munich, Germany.
  48. Canh Phuc Nguyen & Thanh Dinh Su, 2022. "When ‘uncertainty’ becomes ‘unknown’: Influences of economic uncertainty on the shadow economy," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(3), pages 677-716, September.
  49. Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013. "The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, September.
  50. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
  51. Anjum, Hassan & Malik, Farooq, 2020. "Forecasting risk in the US Dollar exchange rate under volatility shifts," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  52. Perry Sadorsky & Michael D. McKenzie, 2008. "Power transformation models and volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 587-606.
  53. Zhuhua Jiang & Walid Mensi & Seong-Min Yoon, 2023. "Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks," Sustainability, MDPI, vol. 15(3), pages 1-15, January.
  54. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
  55. Chong, James, 2005. "The forecasting abilities of implied and econometric variance-covariance models across financial measures," Journal of Economics and Business, Elsevier, vol. 57(5), pages 463-490.
  56. Min Liu & Chien‐Chiang Lee & Wei‐Chong Choo, 2021. "An empirical study on the role of trading volume and data frequency in volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 792-816, August.
  57. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
  58. Weiguo Zhang & Xue Gong & Chao Wang & Xin Ye, 2021. "Predicting stock market volatility based on textual sentiment: A nonlinear analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1479-1500, December.
  59. Lolea Iulian-Cornel & Vilcu Lucian Constantin, 2018. "Measures of volatility for the Romanian Stock Exchange: a regime switching approach," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 12(1), pages 544-556, May.
  60. Chen, Shiyi & Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "Support vector regression based GARCH model with application to forecasting volatility of financial returns," SFB 649 Discussion Papers 2008-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  61. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
  62. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
  63. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  64. Wang, Weichen & An, Ran & Zhu, Ziwei, 2024. "Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective," Journal of Econometrics, Elsevier, vol. 239(2).
  65. Huang, Jingjing & Shang, Pengjian & Zhao, Xiaojun, 2012. "Multifractal diffusion entropy analysis on stock volatility in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5739-5745.
  66. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
  67. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
  68. repec:hum:wpaper:sfb649dp2008-014 is not listed on IDEAS
  69. Paolo Capelli & Federica Ielasi & Angeloantonio Russo, 2021. "Forecasting volatility by integrating financial risk with environmental, social, and governance risk," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(5), pages 1483-1495, September.
  70. Min Liu & Wei‐Chong Choo & Chi‐Chuan Lee & Chien‐Chiang Lee, 2023. "Trading volume and realized volatility forecasting: Evidence from the China stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 76-100, January.
  71. Bradley T. Ewing & Farooq Malik & Hassan Anjum, 2019. "Forecasting value‐at‐risk in oil prices in the presence of volatility shifts," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 341-350, July.
  72. Mirjana Miletić & Siniša Miletić, 2016. "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 54-75, March.
  73. Elyasiani, Elyas & Mansur, Iqbal, 2017. "Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model," Journal of Financial Stability, Elsevier, vol. 28(C), pages 49-65.
  74. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
  75. Ameni Ben Salem & Imene Safer & Islem Khefacha, 2021. "Value at Risk Estimation For the BRICS Countries : A Comparative Study," Post-Print hal-03502428, HAL.
  76. Wu, Xinyu & Yin, Xuebao & Umar, Zaghum & Iqbal, Najaf, 2023. "Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  77. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
  78. Perry Sadorsky, 2005. "Stochastic volatility forecasting and risk management," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 121-135.
  79. Zeng, Qing & Tang, Yusui & Yang, Hua & Zhang, Xi, 2024. "Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model," Finance Research Letters, Elsevier, vol. 59(C).
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