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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)
All
Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
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 1 - 10 of 13
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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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Bilevel optimization for the deployment of refuelling stations for electric vehicles on road networks
Piedra-de-la-Cuadra, Ramón; Ortega, Francisco A. - In: Computers & operations research : an international journal 162 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10014560627
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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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Credibility of confidence sets in nonstandard econometric problems
Müller, Ulrich K.; Norets, Andriy - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 6, pp. 2183-2213
Persistent link: https://www.econbiz.de/10011791223
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Capital cyclicality, conditional coverage and long-term capital assessment
Ferrer, Alex; Casals, José; Sotoca, Sonia - In: Finance research letters 15 (2015), pp. 246-256
Persistent link: https://www.econbiz.de/10011553239
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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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