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ECONIS (ZBW)
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Estimating Value at Risk and
expected
shortfall
: a Kalman filter approach
Lecq, Max van der
;
Van Vuuren, Gary
- In:
International journal of economics and financial issues …
14
(
2024
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014567063
Saved in:
3
The quantum harmonic oscillator
expected
shortfall
model
Markovic, Vladimir M.
;
Radivojevic, Nikola
;
Ivanovic, …
- In:
Estudios de economía
50
(
2023
)
2
,
pp. 233-261
This paper presents a new
Expected
Shortfall
(ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to …
Persistent link: https://www.econbiz.de/10014450737
Saved in:
4
Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia
;
Eisenberg, Julia
;
Salterini, Benedetta
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
Saved in:
5
Value at risk and
expected
shortfall
estimation for Mexico's isthmus crude oil using long-memory GARCH-EVT combined approaches
Gutiérrez, Raúl de Jesús
;
Gutiérrez, Lidia E. Carvajal
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
4
,
pp. 467-480
Persistent link: https://www.econbiz.de/10014373513
Saved in:
6
Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Bruzgė, Rasa
;
Černevičienė, Jurgita
; …
- In:
Journal of business economics and management
24
(
2023
)
3
,
pp. 527-550
. Sensitivity analysis and measures of Value-at-Risk (VaR) and
Expected
Shortfall
(ES) show the amount of losses investors can …
Persistent link: https://www.econbiz.de/10014420375
Saved in:
7
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
8
A component
expected
shortfall
approach to systemic risk : an application in the South African financial industry
Manguzvane, Mathias Mandla
;
Sibusiso Blessing Ngobese
- In:
International Journal of Financial Studies : open …
11
(
2023
)
4
,
pp. 1-14
insurers to aggregate the systemic risk of their respective industries by employing the component
expected
shortfall
(CES). The …
Persistent link: https://www.econbiz.de/10014485398
Saved in:
9
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
10
An elementary proof of the dual representation of
expected
shortfall
Herdegen, Martin
;
Munari, Cosimo-Andrea
- In:
Mathematics and financial economics
17
(
2023
)
4
,
pp. 655-662
Persistent link: https://www.econbiz.de/10014448070
Saved in:
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