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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady; Satchkov, Daniel - In: The journal of risk model validation 4 (2010/11) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10008699880