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Term structure of risk under alternative econometric specifications
Guidolin, Massimo; Timmermann, Allan - In: Journal of econometrics 131 (2006) 1/2, pp. 285-308
Persistent link: https://www.econbiz.de/10003298584
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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Mark to market value at risk
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun - In: Journal of econometrics 208 (2019) 1, pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
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Sample quantile analysis for long-memory stochastic volatility models
Ho, Hwai-chung - In: Journal of econometrics 189 (2015) 2, pp. 360-370
Persistent link: https://www.econbiz.de/10011504558
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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A residual bootstrap for conditional Value-at-Risk
Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan - In: Journal of econometrics 238 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015073889