Modelling Scale-Consistent VaR with the Truncated Lévy Flight
Year of publication: |
2001-02
|
---|---|
Authors: | Lehnert, Thorsten ; Wolff, Christian C |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | Augmented GARCH Process | In- And Out-Of-Sample Analysis | Scale Consistency | Truncated Lévy Flight | Value-At-Risk |
-
Bucevska, Vesna, (2013)
-
An Evaluation Framework for Alternative VaR Models
Bams, Dennis, (2002)
-
Predictive ability of value-at-risk methods : evidence from the Karachi Stock Exchange-100 index
Iqbal, Javed, (2010)
- More ...
-
Skewness Risk Premium: Theory and Empirical Evidence
Lehnert, Thorsten, (2013)
-
Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency
Bekkour, Lamia, (2012)
-
Loss Functions in Option Valuation: A Framework for Model Selection
Bams, Dennis, (2005)
- More ...