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~isPartOf:"The journal of risk model validation"
~isPartOf:"Tydskrif vir studies in ekonomie en ekonometrie : SEE"
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The journal of risk model validation
Tydskrif vir studies in ekonomie en ekonometrie : SEE
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22
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Aggregational effects in extreme value and generalized hyperbolic models for value-at-risk estimation : evidence from the NYSE, FTSE, KRX and TWSE
Mashalaba, Q.
;
Huang, C.-K.
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
44
(
2020
)
1
,
pp. 45-72
Persistent link: https://www.econbiz.de/10012613489
Saved in:
2
Value at Risk and extreme value theory : application to the Johannesburg Securities Exchange
Williams, R.
;
Van Heerden, JD
;
Conradie, W. J.
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
42
(
2018
)
1
,
pp. 87-114
Persistent link: https://www.econbiz.de/10011919767
Saved in:
3
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:
4
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:
5
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:
6
Value at risk using GARCH volatility models augmented with extreme value theory
Dicks, A.
;
Conradie, W. J.
;
De Wet, Tertius
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
38
(
2014
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010517322
Saved in:
7
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
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