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Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

https://doi.org/10.2139/ssrn.4121562
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.841openalex-extracted
Volatility forecasting for risk management
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The asymmetric effects of uncertainty on inflation and output growth
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Analytical quasi maximum likelihood inference in multivariate volatility models
inferredcites →https://doi.org/10.1007/s11156-012-0311-2openalex-extracted
Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
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Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(94)90036-1openalex-extracted
Dynamic linear models with Markov-switching
inferredcites →https://doi.org/10.1016/b978-0-444-50896-6.x5000-6openalex-extracted
Handbook of Heavy Tailed Distributions in Finance
inferredcites →https://doi.org/10.1016/j.ijforecast.2018.05.004openalex-extracted
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
inferredcites →https://doi.org/10.1016/j.insmatheco.2009.09.009openalex-extracted
Estimating value at risk of portfolio by conditional copula-GARCH method
inferredcites →https://doi.org/10.1016/j.iref.2010.12.003openalex-extracted
The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.03.009openalex-extracted
The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.12.008openalex-extracted
Is gold a safe haven? International evidence
inferredcites →https://doi.org/10.1016/j.jeconom.2008.12.008openalex-extracted
Copula-based multivariate GARCH model with uncorrelated dependent errors
inferredcites →https://doi.org/10.1016/j.jeconom.2018.10.008openalex-extracted
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
inferredcites →https://doi.org/10.1016/j.jedc.2010.06.021openalex-extracted
Out-of-sample comparison of copula specifications in multivariate density forecasts
inferredcites →https://doi.org/10.1016/j.jempfin.2006.07.002openalex-extracted
Measuring financial contagion: A Copula approach
inferredcites →https://doi.org/10.1016/j.jimonfin.2012.06.006openalex-extracted
Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
inferredcites →https://doi.org/10.1016/j.jmva.2009.03.011openalex-extracted
On asymptotic theory for multivariate GARCH models
inferredcites →https://doi.org/10.1016/s0047-259x(02)00009-xopenalex-extracted
Asymptotic theory for multivariate GARCH processes
inferredcites →https://doi.org/10.1016/s0304-405x(02)00068-5openalex-extracted
Asymmetric correlations of equity portfolios
inferredcites →https://doi.org/10.1016/s0378-4266(02)00272-8openalex-extracted
Expected shortfall and beyond
inferredcites →https://doi.org/10.1016/s0927-5398(00)00022-0openalex-extracted
Value-at-Risk: a multivariate switching regime approach
inferredcites →https://doi.org/10.1017/s0266466600009063openalex-extracted
Multivariate Simultaneous Generalized ARCH
inferredcites →https://doi.org/10.1017/s0266466603196089openalex-extracted
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
inferredcites →https://doi.org/10.1057/9780230226203.1411openalex-extracted
regime switching models
inferredcites →https://doi.org/10.1080/07350015.1995.10524599openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1080/14697688.2016.1205208openalex-extracted
A new time-varying optimal copula model identifying the dependence across markets
inferredcites →https://doi.org/10.1086/338484openalex-extracted
The Effect of Asymmetries on Optimal Hedge Ratios
inferredcites →https://doi.org/10.1093/jjfinec/nbh020openalex-extracted
A New Approach to Markov-Switching GARCH Models
inferredcites →https://doi.org/10.1093/jjfinec/nbp014openalex-extracted
Modeling International Financial Returns with a Multivariate Regime-switching Copula
inferredcites →https://doi.org/10.1093/rfs/11.4.817openalex-extracted
Modeling Asymmetric Comovements of Asset Returns
inferredcites →https://doi.org/10.1108/eb022959openalex-extracted
The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
inferredcites →https://doi.org/10.1111/1468-0300.00091openalex-extracted
Expected Shortfall: A Natural Coherent Alternative to Value at Risk
inferredcites →https://doi.org/10.1111/1540-6261.00455openalex-extracted
How Accurate Are Value‐at‐Risk Models at Commercial Banks?
inferredcites →https://doi.org/10.1111/j.1540-6288.2010.00244.xopenalex-extracted
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
inferredcites →https://doi.org/10.1198/07350010152596718openalex-extracted
Testing Density Forecasts, With Applications to Risk Management
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1214/16-aos1439openalex-extracted
Higher order elicitability and Osband’s principle
inferredcites →https://doi.org/10.1214/aoms/1177729394openalex-extracted
Remarks on a Multivariate Transformation
inferredcites →https://doi.org/10.1214/lnms/1215452614openalex-extracted
Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters
inferredcites →https://doi.org/10.1287/mnsc.2015.2342openalex-extracted
Backtesting Expected Shortfall: Accounting for Tail Risk
inferredcites →https://doi.org/10.2139/ssrn.2548544openalex-extracted
Backtesting Expected Shortfall: Accounting for Tail Risk
inferredcites →https://doi.org/10.2139/ssrn.2898688openalex-extracted
Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall
inferredcites →https://doi.org/10.2139/ssrn.928290openalex-extracted
Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR
inferredcites →https://doi.org/10.2139/ssrn.952289openalex-extracted
Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold
inferredcites →https://doi.org/10.2307/1912559openalex-extracted
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/2109358openalex-extracted
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.2307/2527341openalex-extracted
Evaluating Interval Forecasts
inferredcites →https://doi.org/10.2307/2938260openalex-extracted
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.2307/3215348openalex-extracted
Time series models with univariate margins in the convolution-closed infinitely divisible class
inferredcites →https://doi.org/10.2469/faj.v52.n6.2039openalex-extracted
Risk 2 : Measuring the Risk in Value at Risk
inferredcites →https://doi.org/10.32614/cran.package.bekksopenalex-extracted
BEKKs: Multivariate Conditional Volatility Modelling and Forecasting
inferredcites →https://doi.org/10.32614/cran.package.mcsopenalex-extracted
MCS: Model Confidence Set Procedure
inferredcites →https://doi.org/10.3905/jai.2012.14.4.026openalex-extracted
Asymmetric Volatility in the Gold Market
inferredcites →https://doi.org/10.3905/jod.1995.407942openalex-extracted
Techniques for Verifying the Accuracy of Risk Measurement Models
inferredcites →https://doi.org/10.3982/ecta5771openalex-extracted
The Model Confidence Set
inferredcites →https://doi.org/10.1002/9781118673331openalex-snapshot
Copula Methods in Finance
inferredcites →https://doi.org/10.1093/rfs/13.1.1openalex-snapshot
Asymmetric Volatility and Risk in Equity Markets

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.15388/lmitt.2025.7openalex-snapshot
Vertės pokyčio rizikos vertinimas taikant vienmatį režimų pasikeitimo MS–GJR–GARCH kopulos modelį
inferred← citeshttps://doi.org/10.25236/ajbm.2023.050218openalex-snapshot
Investor-Induced Cryptocurrency Contagion Channels: An Empirical Evidence from Five Major Economies
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