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Search: subject:"RiskMetrics"
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RiskMetrics
11
ARCH model
7
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7
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Risk measure
6
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6
Volatilität
6
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5
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value-at-risk (VaR)
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1993-2008
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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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ECONIS (ZBW)
RePEc
16
EconStor
3
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1
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
2
Jump driven risk model performance in cryptocurrency market
Nekhili, Ramzi
;
Sultan, Jahangir
- In:
International Journal of Financial Studies : open …
8
(
2020
)
2/19
,
pp. 1-18
TGARCH (Threshold GARCH) volatility and
RiskMetrics
models. The results imply that for the cryptocurrency market, the best …
Persistent link: https://www.econbiz.de/10012239256
Saved in:
3
Performance of value-at-risk averaging in the Nordic power futures market
Sveinsson, Jørgen Andersen
;
Frydenberg, Stein
; …
- In:
The journal of energy markets
13
(
2020
)
3
,
pp. 25-55
Persistent link: https://www.econbiz.de/10012662208
Saved in:
4
Forecasting value-at-risk of cryptocurrencies with
riskmetrics
type models
Liu, Wei
;
Semeyutin, Artur
;
Lau, Chi Keung
;
Gozgor, Giray
- In:
Research in international business and finance
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012581358
Saved in:
5
Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
Saved in:
6
Recursive estimation of the exponentially weighted moving average model
Hendrych, Radek
;
Cipra, Tomáš
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 43-67
Persistent link: https://www.econbiz.de/10012117479
Saved in:
7
Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Gupta, Apoorv
;
Rajib, Prabina
- In:
IIMB management review
30
(
2018
)
4
,
pp. 369-384
Persistent link: https://www.econbiz.de/10012042010
Saved in:
8
Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models
Dunis, Christian
;
Laws, Jason
;
Middleton, Peter W.
; …
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 352-375
Persistent link: https://www.econbiz.de/10010528977
Saved in:
9
The forecasting performance of implied volatility index : evidence from India VIX
Shaikh, Imlak
;
Padhi, Puja
- In:
Economic change and restructuring : empirical and …
47
(
2014
)
4
,
pp. 251-274
Persistent link: https://www.econbiz.de/10010479120
Saved in:
10
Implied volatility index of KOSPI200 : information contents and properties
Ryu, Doojin
- In:
Emerging markets finance & trade : a journal of the …
48
(
2012
),
pp. 24-39
Persistent link: https://www.econbiz.de/10009682531
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