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~isPartOf:"The journal of risk model validation"
~subject:"Volatility"
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Search: subject_exact:"VaR (Value at Risk)"
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Colucci, Stefano
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Buczy´nski, Mateusz
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Chen, Fen-ying
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The journal of risk model validation
Energy economics
35
The North American journal of economics and finance : a journal of financial economics studies
31
Finance research letters
27
Journal of banking & finance
21
International review of financial analysis
19
International journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of mathematical finance
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Pacific-Basin finance journal
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Risks : open access journal
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Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
2
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
3
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
4
Shrunk volatility value-at-risk : an application on US balanced portfolios
Colucci, Stefano
- In:
The journal of risk model validation
12
(
2018
)
2
,
pp. 1-62
Persistent link: https://www.econbiz.de/10011912252
Saved in:
5
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:
6
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola
;
Curcic, Nikola
;
Milojkovic, Dragana
; …
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Saved in:
7
Risk reduction in a time series momentum trading strategy
Hong, KiHoon
;
Park, KiBong
;
Lee, Yong Woong
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 55-70
Persistent link: https://www.econbiz.de/10011587716
Saved in:
8
A quick tool to forecast value-at-risk using implied and realized volatilities
Cesarone, Francesco
;
Colucci, Stefano
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 71-101
Persistent link: https://www.econbiz.de/10011587719
Saved in:
9
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
10
Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets
Oteng-Amoako, Kingsley
- In:
The journal of risk model validation
8
(
2014
)
3
,
pp. 3-31
Persistent link: https://www.econbiz.de/10010423915
Saved in:
11
Value-at-risk forecasts with conditional volatility for structured products
Chen, Fen-ying
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 45-69
Persistent link: https://www.econbiz.de/10009356846
Saved in:
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