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The journal of risk model validation
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Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and the historical simulation models depending on the stability of financial markets
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
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The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
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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
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