A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis

Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

Gencer, Hatice Gaye, (2016)

A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange

Elenjical, Timmy, (2016)

Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model

Geng, Wenjing, (2023)