Search Results - subject:"Conditional VaR"

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427

Persistent link: https://www.econbiz.de/10014232660

Statistical modelling of downside risk spillovers

Ahelegbey, Daniel Felix - 2020

Persistent link: https://www.econbiz.de/10012321946

Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified

El Ghourabi, Mohamed; Francq, Christian; Telmoudi, Fedya - Volkswirtschaftliche Fakultät, … - 2013

each other, and we finally obtain a consistent estimator of the conditional VaR. For a wide class of GARCH models, we …

Persistent link: https://www.econbiz.de/10011112831

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach

Necula, Ciprian - In: Journal for Economic Forecasting (2010) 3, pp. 93-106

portfolio frontier using as a risk measure CVaR (Conditional VaR) computed by Monte Carlo simulation. We find that in the case …

Persistent link: https://www.econbiz.de/10008685120

Nonparametric Estimation of Conditional Expected Shortfall

SCAILLET, Olivier - Swiss Finance Institute - 2004

We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of conditional expected shortfalls in the context of a stationary...

Persistent link: https://www.econbiz.de/10005248410

Why Is French Equilibrium Unemployment So High? An Estimation of the WS-PS Model.

L'Horty, Yannick; Rault, Christophe - 2003

rise in French unemployment and of its persistence at a high level. We estimated it using a conditional VAR-ECM model …

Persistent link: https://www.econbiz.de/10009445708

Why Is French Equilibrium Unemployment So High?

L'horty, Yannick; Rault, Christophe - In: Journal of Applied Economics VI (2003) May, pp. 127-156

rise in French unemployment and of its persistence at a high level. We estimated it using a conditional VAR-ECM model …

Persistent link: https://www.econbiz.de/10005260547