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~person:"Ardia, David"
~person:"Daníelsson, Jón"
~person:"Pérez Amaral, Teodosio"
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Search: subject:"Value at Risk"
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Risikomaß
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Ardia, David
Daníelsson, Jón
Pérez Amaral, Teodosio
McAleer, Michael
194
Allen, David E.
59
Härdle, Wolfgang
59
Chang, Chia-Lin
51
Wang, Ruodu
51
Stoja, Evarist
43
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40
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39
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38
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38
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35
Dowd, Kevin
33
Polanski, Arnold
33
Paolella, Marc S.
31
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28
Gerlach, Richard
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Lucas, André
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28
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28
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27
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26
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23
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23
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23
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22
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ECONIS (ZBW)
75
RePEc
16
EconStor
5
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1
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1
GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on
Value-at-Risk
and Expected Shortfall Forecasts
Ardia, David
-
2020
returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99%
Value-at-Risk
(VaR …
Persistent link: https://www.econbiz.de/10012857089
Saved in:
2
Downside Risk Evaluation with the R Package GAS
Ardia, David
-
2019
prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures:
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10012902645
Saved in:
3
Methods for Computing Numerical Standard Errors : Review and Application to
Value-at-Risk
Estimation
Ardia, David
-
2018
management where we assess the precision of the
Value–at–Risk
measure when the underlying risk model is estimated by simulation …
Persistent link: https://www.econbiz.de/10012936424
Saved in:
4
Why risk is so hard to measure
Daníelsson, Jón
;
Chen Zhou
-
2016
Persistent link: https://www.econbiz.de/10011415993
Saved in:
5
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
shifting the quantitative risk metrics system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The Basel Committee on …
Persistent link: https://www.econbiz.de/10011431395
Saved in:
6
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been …
Persistent link: https://www.econbiz.de/10010532611
Saved in:
7
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
8
A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart F.
-
2014
for multiple time series is particularly useful if one wants to assess
Value-at-Risk
(or Expected Shortfall) predictions …
Persistent link: https://www.econbiz.de/10010250513
Saved in:
9
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
10
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
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