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~isPartOf:"The journal of risk model validation"
~isPartOf:"Journal of financial econometrics"
~subject:"Ausreißer"
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Search: subject_exact:"VaR (Value at Risk)"
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value-at-risk
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Hoga, Yannick
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Chen Zhou
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The journal of risk model validation
Journal of financial econometrics
Insurance / Mathematics & economics
22
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11
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11
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10
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9
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International journal of forecasting
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ECONIS (ZBW)
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1
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
Saved in:
2
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
3
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
- In:
Journal of financial econometrics
18
(
2020
)
3
,
pp. 556-584
Persistent link: https://www.econbiz.de/10012316700
Saved in:
4
Extreme conditional tail moment estimation under serial dependence
Hoga, Yannick
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 587-615
Persistent link: https://www.econbiz.de/10012152234
Saved in:
5
Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van
;
Chen Zhou
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 432–461
Persistent link: https://www.econbiz.de/10012054463
Saved in:
6
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
7
Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed
;
El Ghourabi, Mohamed
;
Belkacem, Lotfi
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
Saved in:
8
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
9
Backtesting value-at-risk tail losses on a dynamic portfolio
Graham, Alasdair
;
Pál, János
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 59-96
Persistent link: https://www.econbiz.de/10010394657
Saved in:
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