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~language:"eng"
~person:"Angelidis, Timotheos"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Estimation theory"
~subject:"Quantile Loss Function"
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Search: subject:"Value at Risk"
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ARCH model
Aktienmarkt
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Quantile Loss Function
Risikomaß
11
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11
ARCH-Modell
4
Forecasting model
4
Prognoseverfahren
4
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3
Griechenland
3
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3
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3
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3
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2002
1
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Bid-ask spread
1
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1
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1
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1
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1
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Angelidis, Timotheos
McAleer, Michael
20
Paolella, Marc S.
17
Giot, Pierre
15
Chlebus, Marcin
14
Ardia, David
13
Hammoudeh, Shawkat
13
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12
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11
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10
Francq, Christian
10
Kang, Sang Hoon
10
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10
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9
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9
Bali, Turan G.
8
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8
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8
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8
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7
Aloui, Chaker
7
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7
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7
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7
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7
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7
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7
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7
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7
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7
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6
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6
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6
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6
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6
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6
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6
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1
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1
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1
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1
New econometric modelling research
1
Review of quantitative finance and accounting
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ECONIS (ZBW)
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1
Backtesting VaR Models : A Τwo-Stage Procedure
Angelidis, Timotheos
-
2018
Academics and practitioners have extensively studied
Value-at-Risk
(VaR) to propose a unique risk management technique …
Persistent link: https://www.econbiz.de/10012910117
Saved in:
2
A Robust VaR Model under Different Time Periods and Weighting Schemes
Angelidis, Timotheos
-
2018
This paper analyses several volatility models by examining their ability to forecast the
Value-at-Risk
(VaR) for two …
Persistent link: https://www.econbiz.de/10012910130
Saved in:
3
Value-at-Risk
for Greek Stocks
Angelidis, Timotheos
-
2016
This paper analyses the application of several volatility models to forecast daily
Value-at-Risk
(VaR) both for single …
Persistent link: https://www.econbiz.de/10013004439
Saved in:
4
Econometric modeling of
value-at-risk
Angelidis, Timotheos
;
Degiannakis, Stavros
-
2009
Persistent link: https://www.econbiz.de/10003803434
Saved in:
5
Value-at-Risk
for Greek stocks
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
- In:
Multinational finance journal : MF ; quarterly …
12
(
2008
)
1/2
,
pp. 67-104
Persistent link: https://www.econbiz.de/10003744221
Saved in:
6
Volatility forecasting : intra-day versus inter-day models
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
Journal of international financial markets, …
18
(
2008
)
5
,
pp. 449-465
Persistent link: https://www.econbiz.de/10003775710
Saved in:
7
Econometric modeling of
value-at-risk
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
New econometric modelling research
,
(pp. 9-60)
.
2008
Persistent link: https://www.econbiz.de/10003693968
Saved in:
8
A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
; …
- In:
Review of quantitative finance and accounting
28
(
2007
)
2
,
pp. 187-201
Persistent link: https://www.econbiz.de/10003492794
Saved in:
9
Liquidity adjusted
value-at-risk
based on the components of the bid-ask spread
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
- In:
Applied financial economics
16
(
2006
)
11
,
pp. 835-851
Persistent link: https://www.econbiz.de/10003351012
Saved in:
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