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Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Khan, Maaz; Khan, Mrestyal; Irfan, Muhammad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 189-199
Persistent link: https://www.econbiz.de/10014286674
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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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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743