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  • Search: subject:"conditional coverage"
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Year of publication
Subject
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Conditional coverage 5 conditional coverage 4 Estimation theory 3 Risikomaß 3 Risk measure 3 Schätztheorie 3 Statistical test 3 Statistischer Test 3 Business cycle 2 Capital cyclicality 2 Estimation 2 Konjunktur 2 Quantile regression 2 Schätzung 2 Theorie 2 Theory 2 Time series analysis 2 Unconditional capital 2 VaR 2 Zeitreihenanalyse 2 autoregressive process 2 conditional volatility 2 egarch 2 garch 2 moving average process 2 risk analysis 2 tarch 2 ARCH model 1 ARCH-Modell 1 Ausreißer 1 Autoregressive model 1 Backtesting 1 Basel Accord 1 Basel settlements 1 Basler Akkord 1 Bayes 1 Bilevel optimization 1 Capital assessment 1 Capitalism 1 Charge-off 1
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Online availability
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Free 7 Undetermined 5
Type of publication
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Article 7 Book / Working Paper 6
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 6 Undetermined 5 French 1 Portuguese 1
Author
All
Casals, José 2 Ferrer, Alex 2 Jánský, Ivo 2 Rippel, Milan 2 Sotoca, Sonia 2 Chiann, Chang 1 Chrétien, Stéphane 1 Coggins, Frank 1 Fuertes, Ana-Maria 1 Hassani, Samir Saissi 1 Komunjer, Ivana 1 Lincovil, Jaime Enrique 1 Marton, James 1 Misiorek, Adam 1 Müller, Ulrich K. 1 Norets, Andriy 1 Olmo, Jose 1 Ortega, Francisco A. 1 Piedra-de-la-Cuadra, Ramón 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 Computers & operations research : an international journal 1 Documentos de Trabajo del ICAE 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Finance research letters 1 Handbook of economic forecasting ; Volume 2 1 IES Working Paper 1 International Journal of Forecasting 1 International review of financial analysis 1 Revista Brasileira de Finanças : RBFin 1 Working Papers IES 1 Working papers 1
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Source
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ECONIS (ZBW) 7 RePEc 5 EconStor 1
Showing 11 - 13 of 13
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Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
Fuertes, Ana-Maria; Olmo, Jose - In: International Journal of Forecasting 29 (2013) 1, pp. 28-42
is optimal because, by construction, it meets the correct out-of-sample conditional coverage criterion ex post. This …
Persistent link: https://www.econbiz.de/10010603357
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Chapter 17. Quantile Prediction
Komunjer, Ivana - 2013
This chapter is concerned with the problem of quantile prediction (or forecasting). There are numerous applications in economics and finance where quantiles are of interest. We primarily focus on methods that are relevant for dynamic time series data. The chapter is organized around two key...
Persistent link: https://www.econbiz.de/10014025231
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Performance and conservatism of monthly FHS VaR : an international investigation
Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-333
Persistent link: https://www.econbiz.de/10009272652
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