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~isPartOf:"International journal of forecasting"
~isPartOf:"The journal of risk model validation"
~person:"Bloxham, Nicholas"
~person:"De Luca, Giovanni"
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International journal of forecasting
The journal of risk model validation
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ECONIS (ZBW)
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Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
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Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
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3
A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter
;
Bloxham, Nicholas
- In:
The journal of risk model validation
12
(
2018
)
1
,
pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
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