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Risikomanagement für heterogene Finanzportfolios

Moys, Gunnar - 2018

Persistent link: https://www.econbiz.de/10011776858

Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method

Khan, Maaz; Khan, Mrestyal; Irfan, Muhammad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 189-199

Persistent link: https://www.econbiz.de/10014286674

Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective

Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013349928

Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133

Persistent link: https://www.econbiz.de/10011663878

Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates

Jammazi, Rania; Nguyen, Duc Khuong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1352-1362

Persistent link: https://www.econbiz.de/10011815894

Backtesting expected shortfall : evidence from European securitized real estate

Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182

Persistent link: https://www.econbiz.de/10011853830

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

-at-Risk (VaR) and ES. We provide explicit expressions for the additional terms in the asymptotic covariance matrix that result from … application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …

Persistent link: https://www.econbiz.de/10012057163

Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index

Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710

Persistent link: https://www.econbiz.de/10012312671

Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall

Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407

Persistent link: https://www.econbiz.de/10011962940