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~isPartOf:"Journal of econometrics"
~person:"Gouriéroux, Christian"
~person:"Huschens, Stefan"
~person:"Koopman, Siem Jan"
~person:"Stoyanov, Stoyan V."
~person:"Vries, Casper G. de"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Gouriéroux, Christian
Huschens, Stefan
Koopman, Siem Jan
Stoyanov, Stoyan V.
Vries, Casper G. de
Francq, Christian
3
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
2
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
3
Fat tails, VaR and subadditivity
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Samorodnitsky, …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
Saved in:
4
Dynamic quantile models
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 198-205
Persistent link: https://www.econbiz.de/10003783800
Saved in:
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