The dynamic quantile approach for VaR estimation : empirical evidence from Indonesia banking industry
Year of publication: |
2024
|
---|---|
Authors: | Saadah, Siti ; Suhartoko, Yohanes B. ; Uyanto, Stanislaus S. ; Yusgiantoro, Inka B. |
Published in: |
Cogent business & management. - London : Taylor & Francis, ISSN 2331-1975, ZDB-ID 2837523-3. - Vol. 11.2024, 1, Art.-No. 2305606, p. 1-11
|
Subject: | Value-at-risk | foreign exchange market risk | quantile regression | backtesting | Indonesia banking industry | Indonesien | Indonesia | Risikomaß | Risk measure | Bank | Schätzung | Estimation | Bankrisiko | Bank risk | Schätztheorie | Estimation theory | Devisenmarkt | Foreign exchange market | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis | VAR-Modell | VAR model |
-
GARCH based VaR estimation : an empirical evidence from BRICS stock markets
Guptha, Sivakiran, (2019)
-
Risk-parameter estimation in volatility models
Francq, Christian, (2015)
-
An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun, (2018)
- More ...
-
Saadah, Siti, (2012)
-
Saadah, Siti, (2012)
-
Saadah, Siti, (2012)
- More ...