Pamela Dent

University of Portsmouth

No Address Available

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

41

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (2)

A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

Number of pages: 41 Posted: 26 Oct 2018
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, University of Portsmouth and Technological Educational Institute of Crete
Downloads 27 (667,499)
Citation 1

Abstract:

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Expected Shortfall, FIGARCH, Forecasting, stock indices, skewed Student-t, Volatility, Long Memory, Value-at-Risk, VaR

A Monte Carlo Simulation Approach to Forecasting Multi‐Period Value‐At‐Risk and Expected Shortfall Using the FIGARCH‐skT Specification

The Manchester School, Vol. 82, Issue 1, pp. 71-102, 2014
Number of pages: 32 Posted: 18 Dec 2013
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, University of Portsmouth and Technological Educational Institute of Crete
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Abstract:

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2.

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility: International Evidence

MPRA Paper No. 80433, International Review of Financial Analysis No. 27 (2013)
Number of pages: 34 Posted: 27 Oct 2018
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Technological Educational Institute of Crete and University of Portsmouth
Downloads 14 (751,856)

Abstract:

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Expected Shortfall, Long Memory, Multi-Period Forecasting, Value-at-Risk, Volatility Forecasting