Narrow search
Showing 1 - 3 of 3
Cover Image
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, L.; Bos, C.S.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005051715
Cover Image
Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2012
statistically significant difference in their performance. The top performers are conditional extreme value GARCH model, models …
Persistent link: https://www.econbiz.de/10010586077
Cover Image
Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10008572519