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  • Search: subject:"Conditional coverage"
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Year of publication
Subject
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Conditional coverage 3 conditional coverage 3 VaR 2 autoregressive process 2 conditional volatility 2 egarch 2 garch 2 moving average process 2 risk analysis 2 tarch 2 Autoregressive model 1 Backtesting 1 Basel Accord 1 Basel settlements 1 Basler Akkord 1 Capital cyclicality 1 Child Health 1 Conditional Coverage 1 Default risk 1 Electricity market 1 Empirical power 1 Estimation 1 Expected shortfall 1 Interval forecast 1 Long-term capital 1 Managed Care 1 Medicaid 1 Nonparametric maximum likelihood 1 Price forecast 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Theorie 1 Theory 1 Unconditional capital 1 Unconditional coverage 1
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Online availability
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Free 7
Type of publication
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Book / Working Paper 6 Article 1
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 4 English 1 French 1 Portuguese 1
Author
All
Jánský, Ivo 2 Rippel, Milan 2 Casals, José 1 Chiann, Chang 1 Ferrer, Alex 1 Hassani, Samir Saissi 1 Lincovil, Jaime Enrique 1 Marton, James 1 Misiorek, Adam 1 Sotoca, Sonia 1 Weron, Rafal 1 Yelowitz, Aaron 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Institut ekonomických studií, Univerzita Karlova v Praze 1
Published in...
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MPRA Paper 2 Documentos de Trabajo del ICAE 1 IES Working Paper 1 Revista Brasileira de Finanças : RBFin 1 Working Papers IES 1 Working papers 1
Source
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RePEc 4 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 7 of 7
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012886096
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Testes para avaliação das previsões do value-at-risk e expected shortfall
Lincovil, Jaime Enrique; Chiann, Chang - In: Revista Brasileira de Finanças : RBFin 17 (2019) 4, pp. 56-76
Persistent link: https://www.econbiz.de/10012221533
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Conditional coverage and its role in determining and assessing long-term capital requirements
Ferrer, Alex; Casals, José; Sotoca, Sonia - Facultad de Ciencias Económicas y Empresariales, … - 2014
We define the vector of conditional coverage values generated over the business cycle by a constant capital figure … interpretation of the unconditional capital. For the latter, we propose using the minimum of the conditional coverage vector in the …
Persistent link: https://www.econbiz.de/10011162545
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Health Insurance Generosity and Conditional Coverage: Evidence from Medicaid Managed Care in Kentucky
Marton, James; Yelowitz, Aaron - Volkswirtschaftliche Fakultät, … - 2014
increase in “conditional coverage” – waiting until medical care is needed to sign up or re-enroll in Medicaid. These effects … formal participation (i.e. more conditional coverage) among the ACA Medicaid expansion population (which is likely to be …
Persistent link: https://www.econbiz.de/10011112453
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Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
Rippel, Milan; Jánský, Ivo - Institut ekonomických studií, Univerzita Karlova v Praze - 2011
periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index …
Persistent link: https://www.econbiz.de/10009216657
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Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility
Jánský, Ivo; Rippel, Milan - 2011
periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index …
Persistent link: https://www.econbiz.de/10010322244
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Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
Weron, Rafal; Misiorek, Adam - Volkswirtschaftliche Fakultät, … - 2008
This empirical paper compares the accuracy of 12 time series methods for short-term (day-ahead) spot price forecasting in auction-type electricity markets. The methods considered include standard autoregression (AR) models, their extensions – spike preprocessed, threshold and semiparametric...
Persistent link: https://www.econbiz.de/10005622046
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