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Search: subject:"Dynamic quantile test"
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Risikomaß
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Risk measure
3
ARCH model
2
ARCH-Modell
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Kupiec test
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dynamic quantile test
2
Aktienmarkt
1
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Bootstrap
1
Börsenhandel
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Dynamic Quantile test
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Dynamic quantile test
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Emerging economies
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GARCH models
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Greenhouse gas emissions
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Johannesburg stock exchange
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Kapitaleinkommen
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Monte Carlo test
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Outliers
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POT method
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Schwellenländer
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Statistical distribution
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Demiralay, Sercan
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Elenjical, Timmy
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Gencer, Hatice Gaye
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Geng, Wenjing
1
Herwartz, Helmut
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Huang, Chun-Sung
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Mwangi, Patrick
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Panulo, Barry
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Applied economics
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Computational Statistics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
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Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
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2
A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange
Elenjical, Timmy
;
Mwangi, Patrick
;
Panulo, Barry
; …
- In:
Risk management : a journal of risk, crisis and disaster
18
(
2016
)
2/3
,
pp. 89-110
Persistent link: https://www.econbiz.de/10011537385
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3
Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye
;
Demiralay, Sercan
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
1/3
,
pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
Saved in:
4
A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
Herwartz, Helmut
;
Waichman, Israel
- In:
Computational Statistics
25
(
2010
)
4
,
pp. 725-732
Persistent link: https://www.econbiz.de/10008775807
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