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~person:"Angelidis, Timotheos"
~person:"Pei, Pei"
~subject:"Estimation theory"
~subject:"Quantile Loss Function"
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Estimation theory
Quantile Loss Function
Risikomaß
16
Risk measure
16
Schätztheorie
8
Statistical test
6
Statistischer Test
6
Estimation
5
Schätzung
5
ARCH model
4
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4
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4
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Aktienmarkt
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Backtesting
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Volatilität
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Value-at-Risk
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2002
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Arch Models
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Asymmetric power ARCH
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Basel Accord
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Bid-ask spread
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Commodity market
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Conditional quantile
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Dry bulk shipping
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Expected Shortfall
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Extreme value theory
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Angelidis, Timotheos
Pei, Pei
Ardia, David
9
Francq, Christian
8
Huschens, Stefan
8
Zakoïan, Jean-Michel
8
Cai, Zongwu
5
Daouia, Abdelaati
5
Gouriéroux, Christian
5
Hoogerheide, Lennart
5
Lönnbark, Carl
5
Stupfler, Gilles
5
Escanciano, Juan Carlos
4
Hoga, Yannick
4
Hoogerheide, Lennart F.
4
Hou, Yanxi
4
Härdle, Wolfgang
4
Höse, Steffi
4
Kondor, Imre
4
Kratz, Marie
4
Lucas, André
4
Manganelli, Simone
4
Peng, Liang
4
Taylor, James W.
4
Wang, Weining
4
Bluteau, Keven
3
Bormann, Carsten
3
Borowska, Agnieszka
3
Bräutigam, Marcel
3
Caccioli, Fabio
3
Ceretta, Paulo Sergio
3
De Luca, Giovanni
3
Degiannakis, Stavros
3
Dijk, Herman K. van
3
El Ghourabi, Mohamed
3
Gammoudi, Imed
3
Giacomini, Enzo
3
Gibson, Michael S.
3
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3
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3
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ECONIS (ZBW)
8
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1
Backtesting VaR Models : A Τwo-Stage Procedure
Angelidis, Timotheos
-
2018
Academics and practitioners have extensively studied
Value-at-Risk
(VaR) to propose a unique risk management technique …
Persistent link: https://www.econbiz.de/10012910117
Saved in:
2
Pitfalls in backtesting historical simulation VaR Models
Escanciano, Juan Carlos
;
Pei, Pei
-
2012
Persistent link: https://www.econbiz.de/10009562976
Saved in:
3
Pitfalls in Backtesting Historical Simulation VAR Models
Escanciano, Juan Carlos
-
2012
Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10013108779
Saved in:
4
Backtesting portfolio
value-at-risk
with estimated portfolio weights
Pei, Pei
-
2010
Persistent link: https://www.econbiz.de/10008857817
Saved in:
5
Pitfalls in backtesting Historical Simulation VaR models
Escanciano, Juan Carlos
;
Pei, Pei
- In:
Journal of banking & finance
36
(
2012
)
8
,
pp. 2233-2244
Persistent link: https://www.econbiz.de/10009655641
Saved in:
6
Backtesting Portfolio
Value-at-Risk
with Estimated Portfolio Weights
Pei, Pei
-
2011
This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on...
Persistent link: https://www.econbiz.de/10013132320
Saved in:
7
Econometric modeling of
value-at-risk
Angelidis, Timotheos
;
Degiannakis, Stavros
-
2009
Persistent link: https://www.econbiz.de/10003803434
Saved in:
8
Econometric modeling of
value-at-risk
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
New econometric modelling research
,
(pp. 9-60)
.
2008
Persistent link: https://www.econbiz.de/10003693968
Saved in:
9
The Use of GARCH Models in VaR Estimation
Angelidis, Timotheos
;
Benos, Alexandros
;
Degiannakis, …
-
Department of Economics, University of Peloponnese
-
2010
We evaluate the performance of an extensive family of ARCH models in modelling daily
Value-at-Risk
(VaR) of perfectly …
Persistent link: https://www.econbiz.de/10008562389
Saved in:
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