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~institution:"Banco Central do Brasil"
~institution:"Escola de Pós-Graduação em Economia <Rio de Janeiro>"
~institution:"International Center for Financial Asset Management and Engineering"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
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Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2019
Persistent link: https://www.econbiz.de/10012041611
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2
Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
Saved in:
3
EWS-GARCH : new regime switching approach to forecast value-at-risk
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2016
Persistent link: https://www.econbiz.de/10011788233
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4
Evaluating value-at-risk models via quantile regressions
Gaglianone, Wagner Piazza
(
contributor
); …
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2008
Persistent link: https://www.econbiz.de/10003759325
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5
On the way to recovery: a nonparametric bias free estimation of recovery rate densities
Renault, Olivier
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001865061
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6
Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001791460
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7
The correlation matrix of the Brazilian Central Bank's standard model for interest rate market risk
Rodrigues Neto, José Alvaro
(
contributor
)
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001741764
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