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Search: subject:"value at risk"
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Chlebus, Marcin
BAUWENS, Luc
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Billio, Monica
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4
GIOT, Pierre
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Buczyński, Mateusz
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ECONIS (ZBW)
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GARCHNet -
Value-at-Risk
forecasting with novel approach to GARCH models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
Saved in:
2
HCR & HCR-GARCH - novel statistical learning models for
value
at
risk
estimation
Woźniak, Michał
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795164
Saved in:
3
Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795166
Saved in:
4
The effectiveness of
Value-at-Risk
models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
5
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
6
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
7
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
-
2019
Persistent link: https://www.econbiz.de/10012041611
Saved in:
8
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:
9
EWS-GARCH : new regime switching approach to forecast
value-at-risk
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2016
Persistent link: https://www.econbiz.de/10011788233
Saved in:
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