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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
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2022
Persistent link: https://www.econbiz.de/10012886096
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
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Chlebus, Marcin
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2021
Persistent link: https://www.econbiz.de/10012816709
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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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One-day prediction of state of turbulence for portfolio : models for binary dependent variable
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2015
Persistent link: https://www.econbiz.de/10011755179
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