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Backtesting value-at-risk : a comparison between filtered bootstrap and historical simulation
Brandolini, Dario; Colucci, Stefano - In: The journal of risk model validation 6 (2012) 4, pp. 3-16
Persistent link: https://www.econbiz.de/10009692964
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A quick tool to forecast value-at-risk using implied and realized volatilities
Cesarone, Francesco; Colucci, Stefano - In: The journal of risk model validation 10 (2016) 4, pp. 71-101
Persistent link: https://www.econbiz.de/10011587719
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Shrunk volatility value-at-risk : an application on US balanced portfolios
Colucci, Stefano - In: The journal of risk model validation 12 (2018) 2, pp. 1-62
Persistent link: https://www.econbiz.de/10011912252