Pamela Dent

University of Portsmouth

No Address Available

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

41

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

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

Downloads 27 (649,215)
Citation 1

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
Stavros Antonios Degiannakis, Pamela Dent and Christos Floros
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:

Loading...

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
Stavros Antonios Degiannakis, Pamela Dent and Christos Floros
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, University of Portsmouth and Technological Educational Institute of Crete
Downloads 0

Abstract:

Loading...

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
Stavros Antonios Degiannakis, Christos Floros and Pamela Dent
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:

Loading...

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