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~person:"Lönnbark, Carl"
~subject:"ARCH-Modell"
~subject:"Finance"
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Search: subject_exact:"VaR (Value at Risk)"
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ARCH-Modell
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15
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15
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9
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9
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Lönnbark, Carl
McAleer, Michael
17
Paolella, Marc S.
17
Giot, Pierre
15
Chlebus, Marcin
14
Ardia, David
11
Caporin, Massimiliano
9
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9
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9
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9
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8
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7
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7
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7
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7
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7
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7
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6
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6
Haas, Markus
6
Huang, Zhuo
6
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6
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6
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Weiß, Gregor
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5
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5
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5
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5
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Umeå economic studies
4
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance research letters
1
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ECONIS (ZBW)
9
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1
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
-
2012
Persistent link: https://www.econbiz.de/10009577582
Saved in:
2
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
-
2012
Persistent link: https://www.econbiz.de/10009627332
Saved in:
3
Occurrence of long and short term asymmetry in stock market volatilities
Lönnbark, Carl
-
2012
Persistent link: https://www.econbiz.de/10009627333
Saved in:
4
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl
- In:
Finance research letters
23
(
2017
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
Saved in:
5
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Saved in:
6
A corrected value-at-risk predictor
Lönnbark, Carl
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003656086
Saved in:
7
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
8
A corrected Value-at-Risk predictor
Lönnbark, Carl
- In:
Applied economics letters
17
(
2010
)
10/12
,
pp. 1193-1196
Persistent link: https://www.econbiz.de/10008699136
Saved in:
9
A Corrected Value-at-Risk Predictor
Lönnbark, Carl
-
2009
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and end in an empirical illustration that it is economically relevant
Persistent link: https://www.econbiz.de/10013155483
Saved in:
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