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~institution:"Banco Central do Brasil"
~institution:"Eidgenössische Technische Hochschule Zürich"
~institution:"Technische Universität Dresden / Fakultät Wirtschaftswissenschaften"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
~language:"deu"
~language:"eng"
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Search: subject_exact:"Conditional value at risk"
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Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2019
Persistent link: https://www.econbiz.de/10012041611
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2
Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
Saved in:
3
EWS-GARCH : new regime switching approach to forecast value-at-risk
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2016
Persistent link: https://www.econbiz.de/10011788233
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4
Applications of dependence concepts in insurance and finance
Juri, Alessandro
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contributor
)
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2002
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[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001691998
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5
The correlation matrix of the Brazilian Central Bank's standard model for interest rate market risk
Rodrigues Neto, José Alvaro
(
contributor
)
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001741764
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6
Measuring risk in value-at-risk based on student's t-distribution
Huschens, Stefan
;
Kurz-Kim, Jeong-Ryeol
-
1998
Persistent link: https://www.econbiz.de/10001422900
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7
Value-at-Risk-Schlaglichter : Ausgabe 2/1998
Huschens, Stefan
-
1998
-
2. Ausg
Persistent link: https://www.econbiz.de/10000996150
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8
Measuring risk in value-at-risk in the presence of infinite variance
Huschens, Stefan
-
1998
Persistent link: https://www.econbiz.de/10013440918
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