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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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Systemic risk of China's commercial banks during financial turmoils in 2010-2020 : a MIDAS-QR based CoVaR approach
Liu, Shuting; Xu, Qifa; Jiang, Cuixia - In: Applied economics letters 28 (2021) 18, pp. 1600-1609
Persistent link: https://www.econbiz.de/10012626719
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Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin; Biljon, L. van; Haasbroek, L. J.; … - In: The journal of risk model validation 13 (2019) 4, pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
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A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun; Jang, Hyun Jin; Choe, Geon Ho - In: Applied economics letters 27 (2020) 15, pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
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Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed; El Ghourabi, Mohamed; Belkacem, Lotfi - In: The journal of risk model validation 10 (2016) 3, pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
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Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
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The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick - In: The journal of risk model validation 11 (2017) 3, pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
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Analytical expressions of risk quantities for composite models
Sarabia Alzaga, José Maria; Calderín-Ojeda, Enrique - In: The journal of risk model validation 12 (2018) 3, pp. 75-101
Persistent link: https://www.econbiz.de/10011991971
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Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
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A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter; Bloxham, Nicholas - In: The journal of risk model validation 12 (2018) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10011869732