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person:"Caporin, Massimiliano"
~person:"Righi, Marcelo Brutti"
~subject:"USA"
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Caporin, Massimiliano
Righi, Marcelo Brutti
Giot, Pierre
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1
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009767006
Saved in:
2
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619566
Saved in:
3
Individual and flexible expected shortfall backtesting
Righi, Marcelo Brutti
;
Ceretta, Sergio Paulo
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 3-20
Persistent link: https://www.econbiz.de/10010480652
Saved in:
4
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
5
On the evaluation of marginal expected shortfall
Caporin, Massimiliano
;
Santucci de Magistris, Paolo
- In:
Applied economics letters
19
(
2012
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
Saved in:
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