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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10011376286
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European market portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10010414201
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Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors
Broda, Simon A. - 2013
Persistent link: https://www.econbiz.de/10010191435
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Backtesting Value-at-Risk and expected shortfall in the presence of estimation error
Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019
application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …
Persistent link: https://www.econbiz.de/10012057163
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011302625
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A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
Persistent link: https://www.econbiz.de/10010250513
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
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Interquantile expectation regression
Barendse, Sander - 2017
We propose a semiparametric estimator to determine the effects of explanatory variables on the conditional interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the underlying random variables. IQE is the expected value of the...
Persistent link: https://www.econbiz.de/10011622915