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~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~isPartOf:"The journal of risk model validation"
~source:"econis"
~subject:"Estimation theory"
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Estimation theory
Risikomaß
71
Risk measure
71
Theorie
25
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23
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Série des documents de travail / Centre de Recherche en Économie et Statistique
The journal of risk model validation
Insurance / Mathematics & economics
24
Journal of risk
21
Journal of econometrics
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
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ECONIS (ZBW)
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1
Old-fashioned parametric models are still the best : a comparison of
value-at-risk
approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
2
An empirical evaluation of large dynamic covariance models in portfolio
value-at-risk
estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
3
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
4
Value-at-risk
in the European energy market : a comparison of parametric, historical simulation and quantile regression
value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
Saved in:
5
Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin
;
Biljon, L. van
;
Haasbroek, L. J.
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
Saved in:
6
The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick
- In:
The journal of risk model validation
11
(
2017
)
3
,
pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
Saved in:
7
Testing
value-at-risk
models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola
;
Curcic, Nikola
;
Milojkovic, Dragana
; …
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Saved in:
8
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
9
Using approximate results for validating
value-at-risk
Hong, Jimmy
;
Knight, John L.
;
Satchell, Stephen
; …
- In:
The journal of risk model validation
4
(
2010/11
)
3
,
pp. 69-81
Persistent link: https://www.econbiz.de/10008699876
Saved in:
10
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
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