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~isPartOf:"The journal of risk model validation"
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Arhus, Gisle Hoel
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The journal of risk model validation
Journal of applied econometrics
23
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
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19
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1
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:
2
Backtesting for counterparty credit risk
Schnitzler, Sebastian
;
Rother, Niklas
;
Plank, Holger
; …
- In:
The journal of risk model validation
8
(
2014
)
4
,
pp. 3-17
Persistent link: https://www.econbiz.de/10010506586
Saved in:
3
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:
4
Individual and flexible expected shortfall backtesting
Righi, Marcelo Brutti
;
Ceretta, Sergio Paulo
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 3-20
Persistent link: https://www.econbiz.de/10010480652
Saved in:
5
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
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