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References from High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. Local targets link to admitted publications; unresolved targets remain external evidence.
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Forecasting Value-at-Risk under Different Distributional Assumptions
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1998 · External reference
Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting
10.1002/for.2255 · 2013 · External reference
Dynamic VaR forecasts using conditional Pearson type IV distribution
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VaR without correlations for portfolios of derivative securities
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2001 · External reference
A Markov model of switching-regime ARCH
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ARCH and GARCH models
2014 · External reference
Techniques for Verifying the Accuracy of Risk Measurement Models
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External reference
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Stock market volatility forecasting: Do we need high-frequency data?
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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
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2006 · External reference
The Economic Value of Volatility Timing Using “Realized” Volatility
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Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach
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