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~institution:"Society for Computational Economics - SCE"
~institution:"Suomen Pankki"
~subject:"Realized volatility"
~subject:"`alpha-Quantile'"
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Realized volatility
`alpha-Quantile'
Value-at-Risk
5
value-at-risk
3
economic capital
2
APARCH
1
ARCH Quantile Value-at-Risk
1
Applied Numerical Analysis
1
Expected Shortfall
1
Expected short-fall
1
GARCH
1
GARCH estimation
1
Quadratic Portfolios of Equities
1
RAROC
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Skewed Student distribution
1
Value at Risk
1
asset allocation
1
asset pricing
1
asymptotic normality
1
bank capital
1
banking
1
capital allocation
1
capital budgeting
1
capital management
1
capital structure
1
conditional quantiles
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consistency
1
corporate finance
1
credit rating
1
credit risk
1
downside risk
1
hurdle rate
1
internal ratings
1
market risk
1
multivariate GARCH
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new Basel Capital Accord
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performance measurement
1
persistence
1
potential market risk
1
quantile regression
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Giot, Pierre
1
Komunjer, Ivana
1
Laurent, Sébastien
1
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Society for Computational Economics - SCE
Suomen Pankki
Department of Economics and Finance, College of Business and Economics
2
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
2
Tinbergen Instituut
2
Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
1
Institute of Economic Research, Hitotsubashi University
1
Institute of Economic Research, Kyoto University
1
School of Economics and Management, University of Aarhus
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Computing in Economics and Finance 2002
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Modelling Daily
Value-at-Risk
Using Realized Volatility and ARCH Type Models
Giot, Pierre
;
Laurent, Sébastien
-
Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005706602
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2
The Alpha-Quantile Distribution Function and its Applications to Financial Modeling
Komunjer, Ivana
-
Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005706623
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