Narrow search
Showing 1 - 10 of 87,857
Cover Image
Robust value-at-risk forecasting of Karachi Stock Exchange
Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146
Persistent link: https://www.econbiz.de/10011748632
Cover Image
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Cover Image
Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
Cover Image
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
Cover Image
Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
Cover Image
A conditional heteroscedastic VaR approach with alternative distributions
Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98
Persistent link: https://www.econbiz.de/10012617079
Cover Image
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Cover Image
Modeling and forecasting the additive bias corrected extreme value volatility estimator
Kumar, Dilip; Maheswaran, S. - In: International review of financial analysis 34 (2014), pp. 166-176
Persistent link: https://www.econbiz.de/10010529043
Cover Image
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip - In: Journal of quantitative economics 16 (2018) 2, pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Cover Image
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647