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Bias of a Value-at-Risk Estima...
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ECONIS (ZBW)
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1
Using weighted distributions to model operational risk
Afonso, Lourdes B.
;
Real, Pedro Corte
- In:
Astin bulletin : the journal of the International …
46
(
2016
)
2
,
pp. 469-485
Persistent link: https://www.econbiz.de/10011576788
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2
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
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3
Bias
-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
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4
Bias
decomposition in the value-at-risk calculation by a GARCH(1,1)
Haddad, GholamReza Keshavarz
;
Hasanzade, Mehrnoosh
- In:
International journal of computational economics and …
10
(
2020
)
2
,
pp. 183-202
Persistent link: https://www.econbiz.de/10012226716
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5
Time-varying parameters realized GARCH models for tracking attenuation
bias
in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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6
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
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7
Portfolio selection with robust estimators considering behavioral biases in a causal network
Momen, Omid
;
Esfahanipour, Akbar
;
Seifi, Abbas
- In:
RAIRO / Operations research
53
(
2019
)
2
,
pp. 577-591
Persistent link: https://www.econbiz.de/10012113676
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8
Tail risk in a retail payments system
Sabetti, Leonard
;
Jacho-Chávez, David T.
;
Petrunia, Robert
- In:
Jahrbücher für Nationalökonomie und Statistik
238
(
2018
)
3/4
,
pp. 353-369
Persistent link: https://www.econbiz.de/10011954478
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9
Bootstrap consistency and
bias
correction in the nonparametric estimation of risk measures of collective risks
Lauer, Alexandra
;
Zähle, Henryk
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 99-108
Persistent link: https://www.econbiz.de/10011712409
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10
A study on equity home
bias
using vine copula approach
Garg, Jyoti
;
Karmakar, Madhusudan
;
Paul, Samit
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014246917
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