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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk"
~person:"Arunachalam, Viswanathan"
~person:"Fischer, Matthias"
~person:"Lauria, Davide"
~subject:"Estimation"
~subject:"Statistical distribution"
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Volatility
Estimation
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Arunachalam, Viswanathan
Fischer, Matthias
Lauria, Davide
Abad, Pilar
1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
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Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
2
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
3
Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk
Jiménez, José Alfredo
;
Arunachalam, Viswanathan
- In:
Journal of risk
13
(
2010/11
)
4
,
pp. 95-116
Persistent link: https://www.econbiz.de/10009233504
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