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CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

CAViaR : conditional value at risk by quantile regression

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001415135

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices

Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389

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On the network topology of variance decompositions : measuring the connectedness of financial firms

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Extreme financial risks : from dependence to risk management

Malevergne, Yannick; Sornette, Didier - 2006

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Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

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The impact of 9/11 on the persistence of financial return volatility of marine firms

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Measuring risk-adjusted performance

Crouhy, Michel; Turnbull, Stuart M.; Wakeman, Lee M. - In: Innovations in risk management : seminal papers from …, (pp. 599-636). 2004

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Caviar : Conditional Value at Risk by Quantile Regression

Manganelli, Simone; Engle, Robert F. - 2021

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …

Persistent link: https://www.econbiz.de/10013218406