Search Results - subject:"value at risk."

Balter, Janine; McNeil, Alexander J. - In: Risks : open access journal 12 (2024) 1, pp. 1-15

-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …

Persistent link: https://www.econbiz.de/10014480976

Qiu, Zhiguo; Lazar, Emese; Nakata, Keiichi - In: International review of financial analysis 92 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014492387

Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19

The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …

Persistent link: https://www.econbiz.de/10014497424

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Jiang, Yifu; Olmo, Jose; Atwi, Majed - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014445636

Kutzker, Tim; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2083-2103

Persistent link: https://www.econbiz.de/10014520115

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We …

Persistent link: https://www.econbiz.de/10015050054

Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428

Persistent link: https://www.econbiz.de/10015057498

Chronopoulos, Ilias; Raftapostolos, Aristeidis; … - In: Journal of financial econometrics 22 (2024) 3, pp. 636-669

Persistent link: https://www.econbiz.de/10015045167

Capelli, Paolo; Ielasi, Federica; Russo, Angeloantonio - In: Finance research letters 66 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10015061195

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