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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk"
~person:"Arunachalam, Viswanathan"
~person:"Jiang, Yindeng"
~person:"Lauria, Davide"
~subject:"Estimation"
~subject:"Statistical distribution"
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Arunachalam, Viswanathan
Jiang, Yindeng
Lauria, Davide
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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
Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng
;
Martin, Doug
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 29-67
Persistent link: https://www.econbiz.de/10011438893
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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