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~institution:"Department of Econometrics and Business Statistics, Monash Business School"
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Search: subject:"Value-at-risk"
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value-at-risk
5
Bayes factors
4
Markov chain Monte Carlo
3
kernel-form error density
2
localized bandwidths
2
Copula
1
Gaussian kernel error density
1
Gaussian-component mixture density
1
Investment decision
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Metropolis-Hastings algorithm
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Nadaraya-Watson estimator
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Semiparametric method
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Value-at-Risk
1
cross-validation
1
exceedance
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random-walk Metropolis algorithm
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state-price density
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state–price density
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unknown error density
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King, Maxwell L.
5
Zhang, Xibin
5
Shang, Han Lin
3
Chen, Xiangjin B.
1
Silvapulle, Mervyn
1
Silvapulle, Param
1
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Department of Econometrics and Business Statistics, Monash Business School
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
61
HAL
38
Tinbergen Instituut
26
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
23
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
21
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
20
EconWPA
17
Institut für Schweizerisches Bankwesen <Zürich>
17
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
16
Department of Economics and Finance, College of Business and Economics
16
Institute of Economic Research, Kyoto University
13
National Bureau of Economic Research
13
Erasmus University Rotterdam, Econometric Institute
12
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
12
Tinbergen Institute
11
Business School, University of Sydney
10
Center for Financial Studies
10
London School of Economics (LSE)
9
National Centre of Competence in Research North South <Bern>
9
Henley Business School, University of Reading
8
Université Paris-Dauphine (Paris IX)
8
C.E.P.R. Discussion Papers
7
Geary Institute, University College Dublin
7
Society for Computational Economics - SCE
7
Springer Fachmedien Wiesbaden
7
Basel Committee on Banking Supervision
6
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
6
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
6
Deutsche Bundesbank
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Frankfurt School of Finance and Management
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CESifo
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Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
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Faculty of Economics, University of Cambridge
5
Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
5
Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
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School of Business, Edith Cowan University
5
Suomen Pankki
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
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Monash Econometrics and Business Statistics Working Papers
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RePEc
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1
Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors
Zhang, Xibin
;
King, Maxwell L.
;
Shang, Han Lin
-
Department of Econometrics and Business Statistics, …
-
2013
a distribution-free measure of
value-at-risk
. We also use the proposed sampling method to estimate bandwidths for the …
Persistent link: https://www.econbiz.de/10010860408
Saved in:
2
Gaussian kernel GARCH models
Zhang, Xibin
;
King, Maxwell L.
-
Department of Econometrics and Business Statistics, …
-
2013
for the error density when used for error-density based inference such as
value-at-risk
(VaR) estimation. A contribution …
Persistent link: https://www.econbiz.de/10010860418
Saved in:
3
A Semiparametric Approach to
Value-at-Risk
, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios
Chen, Xiangjin B.
;
Silvapulle, Param
;
Silvapulle, Mervyn
-
Department of Econometrics and Business Statistics, …
-
2013
This paper investigates stock-bond portfolios’ tail risks such as
value-at-risk
(VaR) and expected shortfall (ES …
Persistent link: https://www.econbiz.de/10011141015
Saved in:
4
A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
Zhang, Xibin
;
King, Maxwell L.
;
Shang, Han Lin
-
Department of Econometrics and Business Statistics, …
-
2013
estimated bandwidths, we derive the one-day-ahead density forecast of the All Ordinaries return, and a distribution-free
value-at-risk
…
Persistent link: https://www.econbiz.de/10011141016
Saved in:
5
Bayesian semiparametric GARCH models
Zhang, Xibin
;
King, Maxwell L.
-
Department of Econometrics and Business Statistics, …
-
2011
value-at-risk
(VaR) estimation. The contribution of the paper is to construct the likelihood and posterior of model and …
Persistent link: https://www.econbiz.de/10009366291
Saved in:
6
Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Zhang, Xibin
;
King, Maxwell L.
;
Shang, Han Lin
-
Department of Econometrics and Business Statistics, …
-
2011
All Ordinaries return, and therefore, a distribution-free
value-at-risk
is obtained. The proposed Gaussian component …
Persistent link: https://www.econbiz.de/10009275517
Saved in:
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