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Value-at-Risk
11
CAViaR model
4
Back-testing
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Expected shortfall
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Asymmetric
2
Asymmetric Laplace distribution
2
EGARCH model
2
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forecasting
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generalized error distribution
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global financial crisis
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global nancial crisis
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market risk charge
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volatility
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Time-varying GARCH model
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Two-sided Weibull
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Value-at-risk (VaR)
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asymmetric-Laplace distribution
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Gerlach, Richard
Freeman, Alan
71
McAleer, Michael
69
Magni, Carlo Alberto
42
Isenberg, Eric
31
Brink, René van den
29
Velez-Pareja, Ignacio
26
Grabisch, Michel
24
Laan, Gerard van der
23
Brink, Rene van den
21
Fosgerau, Mogens
20
Béal, Sylvain
19
Gill, Brian
19
Talman, Dolf
19
Chang, Chia-Lin
18
Casta, Jean-François
17
Tham, Joseph
17
Vries, Casper G. de
17
Casajus, André
16
Lipscomb, Stephen
16
Minten, Bart
16
Solal, Philippe
16
Walsh, Elias
16
Faigle, Ulrich
15
Guegan, Dominique
15
Verhoef, Erik T.
15
Bilbao, J. M.
14
Bryant, John
14
Pietrobelli, Carlo
14
Ramond, Olivier
14
Bahaji, Hamza
13
Borm, Peter
13
Koedel, Cory
13
Rietveld, Piet
13
Rémila, Eric
13
Zarembka, Paul
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Algaba, E.
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Danielsson, Jon
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Daníelsson, Jón
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Business School, University of Sydney
8
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Working Papers / Business School, University of Sydney
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Computational Statistics & Data Analysis
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International Journal of Business and Economics
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International Journal of Forecasting
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RePEc
13
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1
Bayesian Assessment of Dynamic Quantile Forecasts
Chen, Cathy W.S.
;
Gerlach, Richard
;
Lin, Edward M.H.
-
Business School, University of Sydney
-
2014
adequacy of a range of forecasting models for
Value
at Risk (VaR) in several financial market data series. …
Persistent link: https://www.econbiz.de/10010938730
Saved in:
2
The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
Gerlach, Richard
;
Chen, Qian
-
Business School, University of Sydney
-
2011
Value
at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility … other distributions for VaR forecasting, but performs most favourably for conditional
Value
at Risk forecasting, prior to as …
Persistent link: https://www.econbiz.de/10010533708
Saved in:
3
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Gerlach, Richard
;
Chen, Cathy WS
;
Lin, Edward MH
;
Lee, Wcw
-
Business School, University of Sydney
-
2011
Value
-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are …
Persistent link: https://www.econbiz.de/10010685235
Saved in:
4
Forecasting
Value
-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
-
Institute of Economic Research, Kyoto University
-
2011
Value
-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important …
Persistent link: https://www.econbiz.de/10009018856
Saved in:
5
The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
Chen, Qian
;
Gerlach, Richard
-
Business School, University of Sydney
-
2011
Value
at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility … other distributions for VaR forecasting, but performs most favourably for conditional
Value
at Risk forecasting, prior to as …
Persistent link: https://www.econbiz.de/10010699865
Saved in:
6
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Chen, Cathy W.S
;
Gerlach, Richard
;
Lee, Wcw
;
Lin, …
-
Business School, University of Sydney
-
2011
Value
-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are …
Persistent link: https://www.econbiz.de/10010699876
Saved in:
7
Estimating
Value
At Risk
Gerlach, Richard
;
Huang, Hai
;
Lu, Zudi
-
Business School, University of Sydney
-
2010
technique,
value
-at-risk (VaR) has turned to be a popular measure of the degree of various risks in financial risk management …
Persistent link: https://www.econbiz.de/10010699868
Saved in:
8
Bayesian time-varying quantile forecasting for
Value
-at-Risk in financial markets
Gerlach, Richard
;
Chen, Cathy W.S.
;
Chan, Nancy Y. C.
-
Business School, University of Sydney
-
2009
models. Popular
Value
at Risk models, used for risk management in finance, are extended to this fully nonlinear family. An …, in finite samples. An empirical study generating
Value
at Risk forecasts for ten major financial stock indices finds …
Persistent link: https://www.econbiz.de/10010533715
Saved in:
9
Bayesian time-varying quantile forecasting for
Value
-at-Risk in financial markets
Chan, Nancy Y. C.
;
Chen, Cathy W.S.
;
Gerlach, Richard
-
Business School, University of Sydney
-
2009
models. Popular
Value
at Risk models, used for risk management in finance, are extended to this fully nonlinear family. An …, in finite samples. An empirical study generating
Value
at Risk forecasts for ten major financial stock indices finds …
Persistent link: https://www.econbiz.de/10010699863
Saved in:
10
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
Chen, Cathy W.S.
;
Gerlach, Richard
;
Lin, Edward M.H.
- In:
Computational Statistics & Data Analysis
76
(
2014
)
C
,
pp. 194-209
Value
-at-Risk. …
Persistent link: https://www.econbiz.de/10011056410
Saved in:
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