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~person:"Angelidis, Timotheos"
~person:"Pei, Pei"
~subject:"Filtered historical simulation"
~subject:"Quantile Loss Function"
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Filtered historical simulation
Quantile Loss Function
Risikomaß
16
Risk measure
16
Estimation theory
8
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8
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6
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6
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5
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2002
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Angelidis, Timotheos
Pei, Pei
Benos, Alexandros
2
Degiannakis, Stavros
2
Francq, Christian
2
Louzis, Dimitrios P.
2
Xanthopoulos-Sisinis, Spyros
2
Zakoïan, Jean-Michel
2
Garcia-Jorcano, Laura
1
Novales, Alfonso
1
Polak, Pawel
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Refenes, Apostolos P.
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Department of Economics, University of Peloponnese
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Review of Quantitative Finance and Accounting
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The Use of GARCH Models in VaR Estimation
Angelidis, Timotheos
;
Benos, Alexandros
;
Degiannakis, …
-
Department of Economics, University of Peloponnese
-
2010
We evaluate the performance of an extensive family of ARCH models in modelling daily
Value-at-Risk
(VaR) of perfectly …
Persistent link: https://www.econbiz.de/10008562389
Saved in:
2
A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos
;
Benos, Alexandros
;
Degiannakis, …
- In:
Review of Quantitative Finance and Accounting
28
(
2007
)
2
,
pp. 187-201
This paper analyses several volatility models by examining their ability to forecast
Value-at-Risk
(VaR) for two …
Persistent link: https://www.econbiz.de/10005542124
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