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subject:"ARCH model"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"Statistical distribution"
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Review of quantitative finance and accounting
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1
How accurate are modern Value-at-Risk estimators derived from extreme value theory?
Mögel, Benjamin
;
Auer, Benjamin R.
- In:
Review of quantitative finance and accounting
50
(
2018
)
4
,
pp. 979-1030
Persistent link: https://www.econbiz.de/10011979349
Saved in:
2
Tail risk in pension funds : an analysis using ARCH models and bilinear processes
Owadally, Iqbal
- In:
Review of quantitative finance and accounting
43
(
2014
)
2
,
pp. 301-331
Persistent link: https://www.econbiz.de/10010490407
Saved in:
3
Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy
Weiß, Gregor
- In:
Review of quantitative finance and accounting
41
(
2013
)
2
,
pp. 179-202
Persistent link: https://www.econbiz.de/10009774463
Saved in:
4
Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Hsu, Chun-pin
;
Huang, Chin-wen
;
Chiou, Wan-jiun Paul
- In:
Review of quantitative finance and accounting
39
(
2012
)
4
,
pp. 447-468
Persistent link: https://www.econbiz.de/10009690403
Saved in:
5
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:
6
A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
; …
- In:
Review of quantitative finance and accounting
28
(
2007
)
2
,
pp. 187-201
Persistent link: https://www.econbiz.de/10003492794
Saved in:
7
Evaluating effects of excess kurtosis on VaR estimates : evidence for international stock indices
Baixauli, J. Samuel
;
Alvarez, Susana
- In:
Review of quantitative finance and accounting
27
(
2006
)
1
,
pp. 27-46
Persistent link: https://www.econbiz.de/10003344297
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