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Keywords: Realized GARCH
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Journal Articles
Quantile forecasts using the Realized GARCH-EVT approach
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2018) 35 (4): 481–504.
Published: 15 August 2018
...Samit Paul; Prateek Sharma Purpose This study aims to implement a novel approach of using the Realized generalized autoregressive conditional heteroskedasticity (GARCH) model within the conditional extreme value theory (EVT) framework to generate quantile forecasts. The Realized GARCH-EVT models...
Journal Articles
Improved VaR forecasts using extreme value theory with the Realized GARCH model
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2017) 34 (2): 238–259.
Published: 05 June 2017
...Samit Paul; Prateek Sharma Purpose This study aims to forecast daily value-at-risk (VaR) for international stock indices by using the conditional extreme value theory (EVT) with the Realized GARCH (RGARCH) model. The predictive ability of this Realized GARCH-EVT (RG-EVT) model is compared...
