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Journal of Statistical Computation and Simulation Volume 87, 2017 - Issue 16
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Original Articles

Robust bootstrap forecast densities for GARCH returns and volatilities

Carlos TrucíosDepartment of Statistics, University of Campinas, Campinas-SP, BrazilCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0001-8746-8877View further author information
ORCID Icon,
Luiz K. HottaDepartment of Statistics, University of Campinas, Campinas-SP, BrazilORCID Iconhttp://orcid.org/0000-0002-1005-602XView further author information
ORCID Icon &
Esther RuizDepartment of Statistics, University Carlos III de Madrid, Getafe-Madrid, SpainORCID Iconhttp://orcid.org/0000-0002-5944-9449View further author information
ORCID Icon
Pages 3152-3174 | Received 17 Oct 2016, Accepted 22 Jul 2017, Published online: 04 Aug 2017

Citations (19)

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Jagjeevan Kanoujiya, Soumyadip Pal & Shailesh Rastogi. (2023) Volatility effects of cryptocurrencies on foreign tourism in India. Asia Pacific Journal of Tourism Research 28:4, pages 293-305.
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Carol Alexander & Michael Dakos. (2023) Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios. Quantitative Finance 23:3, pages 393-427.
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Carlos Trucíos, Aviral K. Tiwari & Faisal Alqahtani. (2020) Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach. Applied Economics 52:24, pages 2580-2593.
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Carlos Trucíos, Luiz K. Hotta & Esther Ruiz. (2018) Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk. Journal of Statistical Computation and Simulation 88:10, pages 1976-2000.
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Articles from other publishers (15)

Esther Ruiz & María Rosa Nieto. (2022) Direct versus iterated multiperiod Value‐at‐Risk forecasts. Journal of Economic Surveys 37:3, pages 915-949.
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Marc Hallin & Carlos Trucíos. (2023) Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. Econometrics and Statistics 27, pages 1-15.
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Carlos Trucíos & James W. Taylor. (2022) A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. Journal of Forecasting 42:4, pages 989-1007.
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Piotr Fiszeder & Marta Małecka. (2022) Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies. Equilibrium. Quarterly Journal of Economics and Economic Policy 17:4, pages 939-967.
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Peterson Owusu Junior, Imhotep Paul Alagidede & Aviral Kumar Tiwari. (2021) On the Elicitability and Risk Model Comparison of Emerging Markets Equities. Mathematical and Computational Applications 26:3, pages 63.
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Lili Ding, Zhongchao Zhao & Meng Han. (2021) Probability density forecasts for steam coal prices in China: The role of high-frequency factors. Energy 220, pages 119758.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2020) Risk quantification and validation for Bitcoin. Operations Research Letters 48:4, pages 534-541.
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HyunYong Lee, Nac‐Woo Kim, Jun‐Gi Lee & Byung‐Tak Lee. (2019) Uncertainty‐aware forecast interval for hourly PV power output. IET Renewable Power Generation 13:14, pages 2656-2664.
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Carlos Trucíos. (2019) Forecasting Bitcoin risk measures: A robust approach. International Journal of Forecasting 35:3, pages 836-847.
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Carlos Trucíos, Luiz K. Hotta & Pedro L. Valls Pereira. (2019) On the robustness of the principal volatility components. Journal of Empirical Finance 52, pages 201-219.
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Luiz Koodi Hotta & Carlos Trucíos. 2018. Advances in Mathematics and Applications. Advances in Mathematics and Applications 179 202 .
Carlos César Trucíos Maza & James W. Taylor. (2022) A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies. SSRN Electronic Journal.
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Carlos César Trucíos Maza, Aviral Kumar Tiwari & Faisal Alqahtani. (2019) Value-at-Risk and Expected Shortfall in Cryptocurrencies' Portfolio: A Vine Copula-based Approach. SSRN Electronic Journal.
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Carlos CCsar Truccos Maza. (2018) Forecasting Bitcoin Risk Measures: A Robust Approach. SSRN Electronic Journal.
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Carlos CCsar Truccos Maza, Luiz Koodi Hotta & Pedro L. Valls Pereira. (2018) On the Robustness of the Principal Volatility Components. SSRN Electronic Journal.
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