Forecasting Expected Shortfall and Value-at-risk with Realized Variance Measures and the FZ Loss_

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題名：	Forecasting Expected Shortfall and Value-at-risk with Realized Variance Measures and the FZ Loss
書刊名：	臺灣經濟預測與政策
作者：	周雨田／顏佐榕／顏佑銘
作者(外文)：	Chou, Ray Yeutien／Yen, Tso-jung／Yen, Yu-min
出版日期：	2022
卷期：	52:2
頁次：	頁89-140
主題關鍵詞：	預期損失；預測；實際波動率；半參數估計；風險值；Expected shortfall；Forecast；Realized variance measure；Semiparametric estimation；Value-at-risk
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:0

期刊論文
1.	Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2003)。Modeling and forecasting realized volatility。Econometrica，71(2)，579-625。
2.	Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.(2007)。Roughing It Up : Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility。The Review of Economics and Statistics，89(4)，701-720。
3.	Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society，46(1)，33-50。
4.	Acerbi, C.、Szekely, B.(2014)。Back Testing Expected Shortfall。Risk Magazine，27，76-81。
5.	Andersen, T. G.、Dobrev, D.、Schaumburg, E.(2012)。Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation。Journal of Econometrics，169(1)，75-93。
6.	Drew, C.、Jan, K. S.、André, L.(2013)。Generalized Autoregressive Score Models with Applications。Journal of Applied Econometrics，28，777-795。
7.	Fissler, T.、Ziegel, J. F.(2016)。Higher Order Elicitability and Osband's Principle。Annals of Statistics，44，1680-1707。
8.	Hill, J. B.(2015)。Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series。Journal of Financial Econometrics，13，1-44。
9.	Hua, J.、Manzan, S.(2013)。Forecasting the Return Distribution Using High-Frequency Volatility Measures。Journal of Banking and Finance，37，4381-4403。
10.	Linton, O.、Xiao, Z.(2013)。Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance。Econometric Theory，29，771-807。
11.	Meng, X.、Taylor, J. W.(2020)。Estimating Value-at-Risk and Expected Shortfall Using the Intraday Low and Range Data。European Journal of Operational Research，280，191-202。
12.	Patton, A. J.、Ziegel, J. F.、Chen, R.(2019)。Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)。Journal of Econometrics，211，388-413。
13.	Taylor, J. W.(2019)。Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution。Journal of Business and Economic Statistics，37，121-133。
14.	Taylor, J. W.(2020)。Forecast Combinations for Value at Risk and Expected Shortfall。International Journal of Forecasting，36，428-441。
15.	Zheng, Y.、Zhu, Q.、Li, G.、Xiao, Z.(2018)。Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity。Journal of the Royal Statistical Society: Series B，80，975-993。
16.	Zhu, D.、Galbraith, J. W.(2011)。Modeling and Forecasting Expected Shortfall with the Generalized Asymmetric Student-t and Asymmetric Exponential Power Distributions。Journal of Empirical Finance，18，765-778。
17.	Žikeš, F.、Baruník, J.(2016)。Semi-Parametric Conditional Quantile Models for Financial Returns and Realized Volatility。Journal of Financial Econometrics，14，185-226。
18.	Barndorff-Nielsen, Ole E.、Shephard, Neil(2004)。Power and bipower variation with stochastic volatility and jumps。Journal of Financial Econometrics，2(1)，1-37。
19.	Barone-Adesi, G.、Giannopoulos, K.、Vosper, L.(1999)。VaR without Correlations for Portfolios of Derivative Securities。Journal of Futures Markets，19(5)，583-602。
20.	Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance，1(1)，83-106。
21.	Engle, R. F.、Manganelli, S.(2004)。CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles。Journal of Business and Economic Statistics，22(4)，367-381。
22.	Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance，48(5)，1779-1801。

研究報告
1.	Engle, R. F.、Manganelli, S.(2001)。A Comparison of Value-at-Risk Models in Finance。

圖書
1.	Elliott, G.、Timmerman, A.(2016)。Economic Forecasting。Princeton University Press。

其他
1.	Heber, G.，Lunde, A.，Shephard, N.，Sheppard, K. K.(2009)。Oxford-Man Institute's Realized Library，https://realized.oxford-man.ox.ac.uk/data。

圖書論文
1.	Barndorff-Nielsen, O. E.、Kinnebrock, S.、Shephard, N.(2010)。Measuring Downside Risk--Realized Semivariance。Volatility and time series econometrics: essays in honor of Robert F. Engle。Oxford University Press。

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