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~person:"Ardia, David"
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Search: subject:"value at risk."
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Risikomaß
15
Risk measure
15
GARCH
14
ARCH model
11
ARCH-Modell
11
Value-at-Risk
11
Estimation theory
9
Schätztheorie
9
Forecasting model
7
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Volatilität
7
Capital income
6
Kapitaleinkommen
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equity
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false discovery rate
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marginal models
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multiple time series
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Welt
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value-at-risk
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English
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Ardia, David
McAleer, Michael
194
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
50
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Fabozzi, Frank J.
38
Vries, Casper G. de
38
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Vanduffel, Steven
28
Caporin, Massimiliano
27
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Rüschendorf, Ludger
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Dhaene, Jan
23
Hautsch, Nikolaus
23
Stoyanov, Stoyan V.
23
Brandtner, Mario
22
Broll, Udo
22
Dionne, Georges
22
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Tinbergen Instituut
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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1
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1
Economics letters
1
Finance research letters
1
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1
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1
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1
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Tinbergen Institute Discussion Paper 2013-047/III
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ECONIS (ZBW)
15
RePEc
6
EconStor
2
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1
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10
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23
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date (oldest first)
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
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:
5
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:
6
Methods for computing numerical standard errors : review and application to
value-at-risk
estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
7
GARCH models for daily stock returns : impact of estimation frequency on
value-at-risk
and expected shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart
-
2013
Persistent link: https://www.econbiz.de/10010191413
Saved in:
8
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
Saved in:
9
Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David
;
Bluteau, Keven
;
Boudt, Kris
;
Catania, Leopoldo
- In:
International journal of forecasting
34
(
2018
)
4
,
pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
Saved in:
10
GARCH models for daily stock returns : impact of estimation frequency on
Value-at-Risk
and Expected Shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Economics letters
123
(
2014
)
2
,
pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
Saved in:
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