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~isPartOf:"Agricultural finance review"
~isPartOf:"Journal of risk management in financial institutions"
~isPartOf:"Journal of risk"
~source:"econis"
~subject:"Estimation theory"
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1
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
Saved in:
2
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
Saved in:
3
The estimation of Value-at-Risk using a non-parametric approach
Olfat, Amir
;
Eskandari, Farzad
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
2
,
pp. 180-188
Persistent link: https://www.econbiz.de/10014286672
Saved in:
4
Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael
;
Lüdemann, Stefan
;
Poddig, Thorsten
- In:
Journal of risk
18
(
2016
)
5
,
pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
Saved in:
5
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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6
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
Marumo, Kohei
;
Wolff, Rodney C.
- In:
Journal of risk
18
(
2015/2016
)
3
,
pp. 47-76
Persistent link: https://www.econbiz.de/10011439101
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7
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
Saved in:
8
Empirical likelihood for value-at-risk and expected shortfall
Baysal, Rafet Evren
;
Staum, Jeremy
- In:
Journal of risk
11
(
2008/09
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10003775644
Saved in:
9
Kernel quantile-based estimation of expected shortfall
Yu, Keming
;
Ally, Abdallah K.
;
Yang, Shanchao
;
Hand, D. J.
- In:
Journal of risk
12
(
2009/10
)
4
,
pp. 15-32
Persistent link: https://www.econbiz.de/10003995401
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10
Combining non-constant weights with historical simulation VaR
Rebonato, Riccardo
;
Shanbhogue, Vasant
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
4
,
pp. 392-404
Persistent link: https://www.econbiz.de/10008736815
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