Corradi, Valentina; Fosten, Jack; Gutknecht, Daniel Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (English) Zbl 07743053 J. Econom. 236, No. 2, Article ID 105490, 26 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{V. Corradi} et al., J. Econom. 236, No. 2, Article ID 105490, 26 p. (2023; Zbl 07743053) Full Text: DOI
De Gooijer, Jan G. Elements of nonlinear time series analysis and forecasting. (English) Zbl 1376.62001 Springer Series in Statistics. Cham: Springer (ISBN 978-3-319-43251-9/hbk; 978-3-319-43252-6). xxi, 618 p. (2017). Reviewer: Oscar Bustos (Córdoba) MSC: 62-01 62M10 62M20 60G25 60J10 62G08 62G10 PDFBibTeX XMLCite \textit{J. G. De Gooijer}, Elements of nonlinear time series analysis and forecasting. Cham: Springer (2017; Zbl 1376.62001) Full Text: DOI
Grigoletto, Matteo; Lisi, Francesco Practical implications of higher moments in risk management. (English) Zbl 1337.62290 Stat. Methods Appl. 20, No. 4, 487-506 (2011). MSC: 62M20 91B30 PDFBibTeX XMLCite \textit{M. Grigoletto} and \textit{F. Lisi}, Stat. Methods Appl. 20, No. 4, 487--506 (2011; Zbl 1337.62290) Full Text: DOI
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc Accurate value-at-risk forecasting based on the normal-GARCH model. (English) Zbl 1157.62504 Comput. Stat. Data Anal. 51, No. 4, 2295-2312 (2006). MSC: 62M20 62G09 62P05 91B30 62M10 PDFBibTeX XMLCite \textit{C. Hartz} et al., Comput. Stat. Data Anal. 51, No. 4, 2295--2312 (2006; Zbl 1157.62504) Full Text: DOI