Search Results

Forecasting Tail Risks,
Gianni De Nicolò and Marcella Lucchetta, from CESifo (2015)
Keywords: tail risks, density forecasts, factor models, quantile projections

Risk-based forecasting and planning and management earnings forecasts,
Christopher D. Ittner and Jeremy Michels, in Review of Accounting Studies (2017)
Keywords: Management earnings guidance, Budgeting, Planning, Forecasting, Risk management

Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?,
Simon Fritzsch, Maike Timphus and Gregor Weiß, in Journal of Banking & Finance (2024)
Keywords: Portfolio risk; Model risk; Risk forecasting; Copulas;

Risk Scenarios and Macroeconomic Forecasts,
Kevin Moran, Dalibor Stevanovic and Stéphane Surprenant, from CIRANO (2024)
Keywords: Economic forecasts,risk scenarios,VAR,macroeconomic fluctuations,conditional forecasts, Prévisions économiques,scénarios de risque,VAR,fluctuations macroéconomiques,prévisions conditionnelles

Distress risk puzzle and analyst forecast optimism,
K. C. Kenneth Chu and W. H. Sophia Zhai, in Review of Quantitative Finance and Accounting (2021)
Keywords: Distress risk puzzle, Analyst forecast optimism, Forecast revision, Market response

The performance of the switching forecast model of value-at-risk in the Asian stock markets,
Yen-Chen Chiu and I-Yuan Chuang, in Finance Research Letters (2016)
Keywords: Value-at-Risk; Switching forecast model;

The selection of multinational equity portfolios: forecasting models and estimation risk,
Nigel Meade and Gerry Salkin, in The European Journal of Finance (2000)
Keywords: Portfolio Selection Forecasting Estimation Risk,

Risk information disclosure and its impact on analyst forecast accuracy,
José Miguel Tirado-Beltrán and J. David Cabedo-Semper, in Estudios Gerenciales (2020)
Keywords: risk information disclosure; analyst forecast accuracy; risk

SCORING ASSESSMENT AND FORECASTING MODELS BANKRUPTCY RISK OF COMPANIES,
Stefanita Susu, in Annals of Faculty of Economics (2014)
Keywords: risk, bankruptcy, Z score, evaluation and forecasting, viability

Generating Volatility Forecasts from Value at Risk Estimates,
James W. Taylor, in Management Science (2005)
Keywords: volatility forecasting, value at risk, CAViaR models

Systemic risk measures and distribution forecasting of macroeconomic shocks,
Guojin Chen, Yanzhen Liu and Yu Zhang, in International Review of Economics & Finance (2021)
Keywords: Systemic risk; Economic growth; Forecast; Quantile regression;

The information content of risk-neutral skewness for volatility forecasting,
Suk Joon Byun and Jun Sik Kim, in Journal of Empirical Finance (2013)
Keywords: Volatility forecast; Realized volatility; Risk-neutral skewness;

Validity, tightness, and forecasting power of risk premium bounds,
Kerry Back, Kevin Crotty and Seyed Mohammad Kazempour, in Journal of Financial Economics (2022)
Keywords: Risk premia; Bounds; Conditional tests; Predictability; Forecasting;

The importance of the volatility risk premium for volatility forecasting,
Marcel Prokopczuk and Chardin Wese Simen, in Journal of Banking & Finance (2014)
Keywords: Volatility forecasting; Volatility risk premium; Implied volatility;

Forecasting Value-at-Risk under Different Distributional Assumptions,
Manuela Braione and Nicolas Scholtes, in Econometrics (2016)
Keywords: Value-at-Risk; forecast accuracy; distributions; backtesting

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation,
Erik Kole, Thijs Markwat, Anne Opschoor and Dick van Dijk, in Journal of Financial Econometrics (2017)
Keywords: aggregation, forecast evaluation, model comparison, value-at-risk

HUNGARY: Medium-term Forecast and Risk Assessment,
Sandor Richter, from The Vienna Institute for International Economic Studies, wiiw (2000)
Keywords: Hungary, medium-term forecast, risk assessment

Forecasting international financial stress: The role of climate risks,
Santino Del Fava, Rangan Gupta, Christian Pierdzioch and Lavinia Rognone, in Journal of International Financial Markets, Institutions and Money (2024)
Keywords: Financial stress; Climate risks; Random forests; Forecasting;

Tail-Related Risk Measurement and Forecasting in Equity Markets,
Stelios Bekiros, Nikolaos Loukeris, Iordanis Eleftheriadis and Christos Avdoulas, in Computational Economics (2019)
Keywords: Risk measurement, Expected shortfall, Forecast evaluation

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation,
Erik Kole, Thijs Markwat, Anne Opschoor and Dick van Dijk, from Tinbergen Institute (2017)
Keywords: forecast evaluation, aggregation, Value-at-Risk, model comparison

Forecasting International Financial Stress: The Role of Climate Risks,
Santino Del Fava, Rangan Gupta, Christian Pierdzioch and Lavinia Rognone, from University of Pretoria, Department of Economics (2023)
Keywords: Financial stress, Climate risks, Random forests, Forecasting

Evaluating covariance matrix forecasts in a value-at-risk framework,
Jose Lopez and Christian Walter, from Federal Reserve Bank of San Francisco (2000)
Keywords: Financial markets; Risk; Econometric models; Forecasting

Quantifying risk and uncertainty in macroeconomic forecasts,
Malte Knüppel and Karl-Heinz Tödter, from Deutsche Bundesbank (2007)
Keywords: Macroeconomic forecasts, stochastic forecast intervals, risk, uncertainty, asymmetrically weighted normal distribution, asymmetric bootstrap

Retail Portfolio Risk: the Forecasting Models,
Nataliya E. Sokolinskaya, in Finansovyj žhurnal — Financial Journal (2011)
Keywords: forecasting models, risks, retail portfolio of a bank, loss reserve, default

Forecasting methodology and social risk management strategies,
Alexander V. Maksimovich (Максимович А.В.), in State and Municipal Management Scholar Notes (2023)
Keywords: risk society, risk, social risk, social vulnerability, risk management, forecasting of social risks

Forecasting macroeconomic risks,
Patrick A. Adams, Tobias Adrian, Nina Boyarchenko and Domenico Giannone, in International Journal of Forecasting (2021)
Keywords: Downside risk; Growth vulnerability; Shortfall; Quantile regressions; Density forecast; Financial conditions;

The central bank as a risk manager: quantifying and forecasting inflation risks,
Lutz Kilian and Simone Manganelli, from European Central Bank (2003)
Keywords: deflation, forecast, inflation, monetary policy., risk

An empirical investigation of multiperiod tail risk forecasting models,
Ning Zhang, Xiaoman Su and Shuyuan Qi, in International Review of Financial Analysis (2023)
Keywords: Backtest; Expected shortfall; Multiperiod risk forecasting; Value-at-risk;

Comparison of Value at Risk (VaR) Multivariate Forecast Models,
Fernanda Maria Müller and Marcelo Righi, in Computational Economics (2024)
Keywords: Risk forecasting, Value at Risk (VaR), Copulas, Multivariate GARCH models

Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data,
Afees Salisu, Christian Pierdzioch and Rangan Gupta, in Energy (2021)
Keywords: Oil price; Tail risks; Geopolitical risks; Forecasting;

Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data,
Afees Salisu, Christian Pierdzioch and Rangan Gupta, from University of Pretoria, Department of Economics (2021)
Keywords: Oil price, Tail risks, Geopolitical risks, Forecasting

Comparing density forecasts in a risk management context,
Cees Diks and Hao Fang, in International Journal of Forecasting (2020)
Keywords: Density forecast evaluation; Scoring rules; Skew-elliptical distributions; Portfolio risk assessment; Value-at-Risk forecasts;

Option pricing under time-varying risk-aversion with applications to risk forecasting,
Rüdiger Kiesel and Florentin Rahe, in Journal of Banking & Finance (2017)
Keywords: Pricing kernel; Option pricing; Implied risk premium; Value-at-Risk forecast;

Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk,
Fernanda Maria Müller, Samuel Solgon Santos, Thalles Weber Gössling and Marcelo Righi, in Finance Research Letters (2022)
Keywords: Range Value at Risk (RVaR); Cryptocurrencies; Bitcoin; Risk forecasting;

Bayesian Risk Forecasting for Long Horizons,
Agnieszka Borowska, Lennart Hoogerheide and Siem Jan Koopman, from Tinbergen Institute (2019)
Keywords: Bayesian inference, forecasting, importance sampling, numerical accuracy, long run risk, Value-at-Risk, Expected Shortfall

Horizon problems and extreme events in financial risk management,
Peter Christoffersen, Francis Diebold and Til Schuermann, in Economic Policy Review (1998)
Keywords: Forecasting; Risk

The value of value at risk: statistical, financial, and regulatory considerations (summary),
Jon Danielsson, Casper de Vries and Bjørn Jørgensen, in Economic Policy Review (1998)
Keywords: Forecasting; Risk

Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann,
Lennart F. Hoogerheide, Francesco Ravazzolo and Herman van Dijk, from Tinbergen Institute (2011)
Keywords: Value-at-Risk, backtest, optimal revision, forecast rationality

Designing fan charts for GDP growth forecasts to better reflect downturn risks,
David Turner, from OECD Publishing (2017)
Keywords: downturn, economic forecasts, Fan charts, risk, uncertainty

Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions,
Raphael Amaro, Carlos Pinho and Mara Madaleno, in Applied Econometrics (2022)
Keywords: Value-at-Risk; heteroscedasticity; GARCH; distribution functions; forecast

Tales from tails: On the empirical distributions of forecasting errors and their implication to risk,
Evangelos Spiliotis, Konstantinos Nikolopoulos and Vassilios Assimakopoulos, in International Journal of Forecasting (2019)
Keywords: Forecasting; Performance; Error distribution; Tails; Risk;

Forecasting US recessions with various risk factors and dynamic probit models,
Eric Ng, in Journal of Macroeconomics (2012)
Keywords: Recession forecasts; Recession risks; Dynamic probit models;

Climate risk and Chinese stock volatility forecasting: Evidence from ESG index,
Jiqian Wang and Liang Li, in Finance Research Letters (2023)
Keywords: Climate risk; Volatility forecasting; Climate uncertainty; ESG;

Forecasting U.S. Stock Returns Conditional on Geopolitical Risk and Business Cycles,
Minh Tam Tammy Schlosky, Serkan Karadas and Adam Stivers, in International Review of Financial Analysis (2024)
Keywords: Forecasting; Return predictability; Geopolitical risk; Business cycles;

Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking,
Daniel Kahneman and Dan Lovallo, in Management Science (1993)
Keywords: decision making, risk, forecasting, managerial cognition

Climate risks and forecastability of the realized volatility of gold and other metal prices,
Rangan Gupta and Christian Pierdzioch, in Resources Policy (2022)
Keywords: Climate risks; Realized volatility; Gold; Metals; Forecasting;

Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters,
Manuel Schick, from University of Heidelberg, Department of Economics (2024)
Keywords: Growth-at-Risk; GARCH; Survey of Professional Forecasters

Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices,
Rangan Gupta and Christian Pierdzioch, from University of Pretoria, Department of Economics (2021)
Keywords: Climate Risks, Realized Volatility, Gold, Metals, Forecasting

Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment,
Rangan Gupta and Christian Pierdzioch, from University of Pretoria, Department of Economics (2021)
Keywords: Climate risks, Realized volatility, Agricultural commodities, Forecasting

Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century,
Mehmet Balcilar, David Gabauer, Rangan Gupta and Christian Pierdzioch, from University of Pretoria, Department of Economics (2021)
Keywords: International stock markets, Climate risks, Returns forecasting

The Effect of Litigation Risk on Management Earnings Forecasts,
Zhiyan Cao and Ganapathi Narayanamoorthy, from Yale School of Management (2009)
Keywords: litigation risk, voluntary disclosure, management earnings forecasts, directors and officers insurance

Monitoring Value-at-Risk and Expected Shortfall Forecasts,
Yannick Hoga and Matei Demetrescu, in Management Science (2023)
Keywords: risk measures, backtests, sequential monitoring, exact distributions, forecasting

Forecasting risk measures using intraday and overnight information,
Douglas G. Santos, Osvaldo Candido and Paula V. Tófoli, in The North American Journal of Economics and Finance (2022)
Keywords: Volatility forecasting; Realized volatility; Overnight volatility; Value-at-Risk; Expected Shortfall;

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect,
Francesco Audrino and Yujia Hu, in Econometrics (2016)
Keywords: high frequency data; realized volatility forecasting; downside risk; leverage effect

Forecasting the oil prices: What is the role of skewness risk?,
Libo Yin and Yang Wang, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Oil price predictability; Skewness risk; Out-of-sample forecasts; Business cycle;

Management earnings forecasts, managerial incentives, and risk-taking,
Susan M. Albring and Xiaolu Xu, in Advances in accounting (2018)
Keywords: Disclosure; Managerial incentives; Risk-taking; Managerial ownership; Management earnings forecasts;

Forecasting Volatility and Tail Risk in Electricity Markets,
Antonio Naimoli and Giuseppe Storti, in JRFM (2021)
Keywords: volatility forecasting; value-at-risk; expected shortfall; realized GARCH; electricity prices

Does climate risk influence analyst forecast accuracy?,
Incheol Kim, Suin Lee and Jiwoo Ryou, in Journal of Financial Stability (2024)
Keywords: Climate risk; Climate change; Earnings forecast; Earnings volatility;

Forecasting realized gold volatility: Is there a role of geopolitical risks?,
Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch, in Finance Research Letters (2020)
Keywords: Gold-price returns; Realized volatility; Geopolitical risks; Forecasting;

Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?,
Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch, from University of Pretoria, Department of Economics (2019)
Keywords: Gold-price returns, Realized volatility, Geopolitical risks, Forecasting

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect,
Francesco Audrino and Yujia Hu, from University of St. Gallen, School of Economics and Political Science (2011)
Keywords: High frequency data, Realized volatility forecasting, Downside risk, Leverage effect

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas,
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao, from Scottish Institute for Research in Economics (SIRE) (2014)
Keywords: asymmetric dependence, dynamic copulas, tail risk, Value-at-Risk forecasting,

Option-implied preferences adjustments, density forecasts, and the equity risk premium,
Francisco Alonso, Roberto Blanco and Gonzalo Rubio, from Banco de España (2006)
Keywords: risk-adjustments, option-implied densities, forecasting performance, equity-risk premium

Bilinear Forecast Risk Assessment for Non-systematic Inflation: Theory and Evidence,
Wojciech Charemza, Yuriy Kharin and Vladislav Maevskiy, from Springer (2014)
Keywords: Risk Forecasting, Bilinear Coefficients, Forecast Horizon, International Monetary Fund Database, Forecasting Scheme

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks,
Lutz Kilian and Simone Manganelli, from C.E.P.R. Discussion Papers (2003)
Keywords: Risk; Forecast; Monetary policy; Price stability; inflation; Deflation

EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT,
Christian Brownlees, Giuseppe Cavaliere and Alice Monti, in Annals of Financial Economics (AFE) (2018)
Keywords: Systemic risk, conditional value-at-risk, marginal expected shortfall, dcc model, forecasting, forecast evaluation, tick loss, loss functions

Forecasting Bond Risk Premia with Unspanned Macroeconomic Information,
Rui Liu, in Quarterly Journal of Finance (QJF) (2019)
Keywords: Unspanned macro risk, bond risk premia, forecast combination, model uncertainty, economic value

Forecasting multidimensional tail risk at short and long horizons,
Arnold Polanski and Evarist Stoja, in International Journal of Forecasting (2017)
Keywords: Multidimensional risk; Multidimensional value at risk; Two-factor decomposition; Long horizon forecasting;

Multifractality and value-at-risk forecasting of exchange rates,
Jonathan Batten, Harald Kinateder and Niklas Wagner, in Physica A: Statistical Mechanics and its Applications (2014)
Keywords: High frequency exchange rates; Multifractality; MMAR; Value-at-risk; Foreign exchange risk forecasting;

Forecasting the Risk of Speculative Assets by Means of Copula Distributions,
Benjamin Beckers, Helmut Herwartz and Moritz Seidel, from DIW Berlin, German Institute for Economic Research (2013)
Keywords: copula distributions, expected shortfall, GARCH, model selection, non-Gaussian innovations, risk forecasting, value-at-risk

Forecasting multidimensional tail risk at short and long horizons,
Arnold Polanski and Evarist Stoja, from Bank of England (2017)
Keywords: Multidimensional risk; multidimensional Value at Risk; two-factor decomposition; long-horizon forecasting

EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk,
Marcin Chlebus, from Faculty of Economic Sciences, University of Warsaw (2016)
Keywords: Value-at-Risk, GARCH, forecasting, state of turbulence, regime switching, risk management, risk measure, market risk.

Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data,
Afees Salisu, Christian Pierdzioch, Rangan Gupta and Renee van Eyden, from University of Pretoria, Department of Economics (2021)
Keywords: Stock market, Tail risks, Climate risks, Forecasting, Asymmetric loss

Forecast of forecast: An analytical approach to stressed impairment forecasting,
Jimmy Skoglund and Wei Chen, in Journal of Risk Management in Financial Institutions (2017)
Keywords: credit risk, macroeconomics, impairment forecasting forecast of forecast, IFRS 9, CECL

On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information,
Maximiano Pinheiro and Paulo Esteves, in Empirical Economics (2012)
Keywords: Macroeconomic forecasts, Joint mode forecasts, Density forecasts, Fan charts, Balance of risks, Two-piece normal distribution, Multivariate skewed distribution, C53, E37,

Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting,
A. Kolesnikova, Y. Yang, S. Lessmann, T. Ma, M.-C. Sung and J.E.V. Johnson, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: risk management, retail finance, forecasting, deep learning

Can deep learning predict risky retail investors? A case study in financial risk behavior forecasting,
A. Kim, Y. Yang, S. Lessmann, T. Ma, M.-C. Sung and J.E.V. Johnson, in European Journal of Operational Research (2020)
Keywords: Risk management; Retail finance; Forecasting; Deep learning;

Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment,
Rangan Gupta and Christian Pierdzioch, from University of Pretoria, Department of Economics (2021)
Keywords: Climate Risks, Realized Volatility, Energy Prices, Forecasting

Evaluating macroeconomic risk forecasts,
Malte Knüppel and Guido Schultefrankenfeld, from Deutsche Bundesbank (2011)
Keywords: forecast evaluation, asymmetric densities, skewness

Forecasting value-at-risk and expected shortfall for emerging markets using FIGARCH models,
Alex Sandro Monteiro De Moraes, Antonio Carlos Figueiredo Pinto and Marcelo Klotzle, in Brazilian Review of Finance (2015)
Keywords: Expected shortfall, long-memory, volatility forecast, multiple steps ahead forecast, value-at-risk

Forecasting bankruptcy risk of international commercial road transport companies,
Rafał Balina and Sławomir Juszczyk, in International Journal of Management and Enterprise Development (2014)
Keywords: bankruptcy forecasting; forecasting models; discriminant analysis; bankruptcy risk; international road transport firms; commercial road transport firms.

The uncertainty in extreme risk forecasts from covariate-augmented volatility models,
Yannick Hoga, in International Journal of Forecasting (2021)
Keywords: Extreme value theory; Forecast intervals; High-frequency volatility measures; Risk forecasts; Volatility indices;

Forecasting value-at-risk and expected shortfall in emerging market: does forecast combination help?,
Trung Hai Le, in Journal of Risk Finance (2024)
Keywords: Value at risk, Expected shortfall, Forecast combination, C22, E47, G17

How informative are central bank assessments of macroeconomic risks?,
Malte Knüppel and Guido Schultefrankenfeld, from Deutsche Bundesbank (2011)
Keywords: forecast evaluation, risk forecasts, inflation forecasts

Risks assessment and forecasting long time rows of economic indicators,
Gennadiy Bystray, Ivan Lykov and Natalya Nikulina, in Economy of region (2012)
Keywords: economic risk, synergetic method, forecasting of economic indicators, modernized method of Hurst

Learning to forecast, risk aversion, and microstructural aspects of financial stability,
Alessio Emanuele Biondo, from Kiel Institute for the World Economy (IfW Kiel) (2017)
Keywords: order book, learning to Forecast, risk aversion, agent based models

Learning to forecast, risk aversion, and microstructural aspects of financial stability,
Alessio Emanuele Biondo, in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2018)
Keywords: order book, learning to forecast, risk aversion, agent-based models

A comparison of forecasting performance and systematic risk across different political environments,
Adam Stivers, Serkan Karadas and Adam Hoffer, in American Journal of Finance and Accounting (2021)
Keywords: forecasting; presidential puzzle; return predictability; systematic risk; politics.

Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models,
Claudiu Ilie Opreana, in Expert Journal of Finance (2013)
Keywords: Value-at-Risk, volatility forecasting, EWMA, GARCH models, autocorrelation

Combining Value-at-Risk forecasts using penalized quantile regressions,
Sebastian Bayer, in Econometrics and Statistics (2018)
Keywords: Value-at-Risk; Forecast combination; Quantile regression; Elastic net; Regularization;