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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar; Benito Muela, Sonia; López-Martín, Carmen; … - In: Journal of risk 18 (2016) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
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How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca - In: Journal of risk 19 (2016/2017) 4, pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643
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Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Crude oil risk forecasting : new evidence from multiscale analysis approach
He, Kaijian; Tso, Kwok Fai Geoffrey; Zou, Yingchao; Liu, Jia - In: Energy economics 76 (2018), pp. 574-583
Persistent link: https://www.econbiz.de/10011976731