Search Results - subject:"Extreme value volatility estimator"

Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator

Kumar, Dilip - In: Journal of quantitative economics 18 (2020) 3, pp. 587-610

Persistent link: https://www.econbiz.de/10012418856

Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator

Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012667394

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in Economics and Finance 34 (2017) 4, pp. 506-526

Purpose This paper aims to propose a framework based on the unbiased extreme value volatility estimator (namely, the … providing a framework to predict more accurate VaR and stressed ES measures based on the unbiased extreme value volatility … estimator. …

Persistent link: https://www.econbiz.de/10015013944

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097