Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Year of publication: |
2020
|
---|---|
Authors: | Kumar, Dilip |
Published in: |
The journal of prediction markets. - Buckingham : Univ. of Buckingham Press, ISSN 1750-6751, ZDB-ID 2388613-4. - Vol. 14.2020, 1, p. 27-48
|
Subject: | Extreme value volatility estimator | Structural breaks | Value-at-risk | Asymmetry | Risk management | Volatilität | Volatility | Strukturbruch | Structural break | Risikomaß | Risk measure | Risikomanagement | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Schätzung | Estimation |
-
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip, (2020)
-
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco, (2016)
-
Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail, (2019)
- More ...
-
Economic and political uncertainties and sustainability disclosures in the tourism sector firms
Kumar, Dilip, (2023)
-
Are PIIGS stock markets efficient?
Kumar, Dilip, (2013)
-
Kumar, Dilip, (2014)
- More ...