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Exact inference in diagnosing Value-at-Risk estimates : a Monte Carlo device
Herwartz, Helmut - In: Economics letters 103 (2009) 3, pp. 160-162
Persistent link: https://www.econbiz.de/10003854913
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Copula-MGARCH with continuous covariance decomposition
Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
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VaR constrained asset pricing with relative performance
Liu, Xiangbo; Qiu, Zhigang; Xiong, Yan - In: Economics letters 121 (2013) 2, pp. 174-178
Persistent link: https://www.econbiz.de/10010346336
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A simple and focused backtest of value at risk
Krämer, Walter; Wied, Dominik - In: Economics letters 137 (2015), pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
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VaR-implied tail-correlation matrices
Mittnik, Stefan - In: Economics letters 122 (2014) 1, pp. 69-73
Persistent link: https://www.econbiz.de/10010393953
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Efficient VAR discretization
Gordon, Grey - In: Economics letters 204 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012607567
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BP-CVaR : a novel model of estimating CVaR with back propagation algorithm
Wang, Gang-Jin; Zhu, Chun-Long - In: Economics letters 209 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10013209345
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Capturing information in extreme events
Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014461218
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Heavy tails and copulas : limits of diversification revisited
Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107
Persistent link: https://www.econbiz.de/10011620157
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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 F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299