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~isPartOf:"Applied economics"
~isPartOf:"Risks : open access journal"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Statistical distribution"
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Risks : open access journal
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ECONIS (ZBW)
62
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1
Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine
;
McNeil, Alexander J.
- In:
Risks : open access journal
12
(
2024
)
1
,
pp. 1-15
-desk
value-at-risk
(VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …
Persistent link: https://www.econbiz.de/10014480976
Saved in:
2
Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type
Value-at-Risk
model performance in Thailand's transport...
Danai Likitratcharoen
;
Lucksuda Suwannamalik
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-19
The
Value-at-Risk
(VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …
Persistent link: https://www.econbiz.de/10014497424
Saved in:
3
Value-at-Risk
effectiveness : a high-frequency data approach with semi-heavy tails
Contreras-Valdez, Mario Ivan
;
Sahu, Sonal
; …
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-23
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10014497426
Saved in:
4
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-45
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
5
Estimating the
value-at-risk
by temporal VAE
Buch, Robert
;
Grimm, Stefanie
;
Korn, Ralf
;
Richert, Ivo
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-26
Estimation of the
value-at-risk
(VaR) of a large portfolio of assets is an important task for financial institutions …
Persistent link: https://www.econbiz.de/10014303883
Saved in:
6
Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk
Makarov, Roman
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-24
propose a Laplace-transform-based approach to computing
Value
at
Risk
(VaR) and conditional VaR (also known as the expected …
Persistent link: https://www.econbiz.de/10014446758
Saved in:
7
Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning
Syuhada, Kreshna
;
Tjahjono, Venansius
;
Hakim, Arief
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-25
combination of aggregate
value-at-risk
(AggVaR) and aggregate expected shortfall (AggES). To capture their dependence, we employed …
Persistent link: https://www.econbiz.de/10014234332
Saved in:
8
Performance of the realized-GARCH model against other GARCH types in predicting cryptocurrency volatility
Queiroz, Rhenan G. S.
;
David, Sergio A.
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-13
Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model is a well-known...
Persistent link: https://www.econbiz.de/10014446600
Saved in:
9
Sharp probability tail estimates for portfolio credit risk
Collamore, Jeffrey F.
;
Silva, Hasitha de
;
Vidyashankar, …
- In:
Risks : open access journal
10
(
2022
)
12
,
pp. 1-20
also discuss estimates for
Value-at-Risk
, and observe that our results may be extended to cases where the number of factors …
Persistent link: https://www.econbiz.de/10014230963
Saved in:
10
Estimating copula-based extension of tail
value-at-risk
and its application in insurance claim
Syuhada, Khreshna
;
Neswan, Oki
;
Parulian, Josaphat, Bony
- In:
Risks : open access journal
10
(
2022
)
6
,
pp. 1-26
Dependent Tail
Value-at-Risk
, abbreviated as DTVaR, is a copula-based extension of Tail
Value-at-Risk
(TVaR). This risk …
Persistent link: https://www.econbiz.de/10013363132
Saved in:
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