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Conditional value-at-risk appr...
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191
Alternative statistical distributions for estimating value-at-risk : theory and evidence
Lee, Cheng F.
;
Su, Jung-Bin
- In:
Review of quantitative finance and accounting
39
(
2012
)
3
,
pp. 309-331
Persistent link: https://www.econbiz.de/10009673712
Saved in:
192
High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo
;
Alves, Isabel Fraga
;
Hammoudeh, …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
Saved in:
193
Estimating risk with copulas
Mihaylova, Iva
-
2014
Persistent link: https://www.econbiz.de/10010366882
Saved in:
194
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
Saved in:
195
A corrected Value-at-Risk predictor
Lönnbark, Carl
- In:
Applied economics letters
17
(
2010
)
10/12
,
pp. 1193-1196
Persistent link: https://www.econbiz.de/10008699136
Saved in:
196
Markov-switching GARCH modelling of value-at-risk
Sajjad, Rasoul
;
Coakley, Jerry
;
Nankervis, John C.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
12
(
2008
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009513623
Saved in:
197
Outliers, GARCH-type models and risk measures : a comparison of several approaches
Grané, Aurea
;
Almeida, Helena Tenório Veiga de
- In:
Journal of empirical finance
26
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10010472010
Saved in:
198
Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yi, Yanping
;
Feng, Xingdong
;
Huang, Zhuo
- In:
Economics letters
124
(
2014
)
3
,
pp. 378-381
Persistent link: https://www.econbiz.de/10010495168
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199
Bounds for functions of dependent risks
Embrechts, Paul
;
Puccetti, Giovanni
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
Saved in:
200
Estimation of value-at-risk and expected shortfall based on nonlinear extreme value theory
Martins-Filho, Carlos
(
contributor
);
Yao, Feng
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
10
(
2006
)
2
,
pp. 1-41
Persistent link: https://www.econbiz.de/10003558963
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