Narrow search
Showing 1 - 4 of 4
Cover Image
Extreme risk, value-at-risk and expected shortfall in the gold market
Chinhamu, Knowledge; Huang, Chun-Kai; Huang, Chun-Sung; … - In: International business and economics research journal 14 (2015) 1, pp. 107-122
Persistent link: https://www.econbiz.de/10010529381
Cover Image
Dependent bootstrapping for value-at-risk and expected shortfall
Laker, Ian; Huang, Chun-Kai; Clark, Allan Ernest - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 4, pp. 301-322
Persistent link: https://www.econbiz.de/10011850004
Cover Image
A study on window-size selection for threshold and bootstrap value-at-risk models
Smith, Anri; Huang, Chun-Kai - In: The journal of risk model validation 13 (2019) 4, pp. 1-16
Persistent link: https://www.econbiz.de/10012373140
Cover Image
A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange
Elenjical, Timmy; Mwangi, Patrick; Panulo, Barry; … - In: Risk management : a journal of risk, crisis and disaster 18 (2016) 2/3, pp. 89-110
Persistent link: https://www.econbiz.de/10011537385