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TWO-COMPONENT EXTREME VALUE DI...
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Risikomaß
115
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Finance research letters
Insurance / Mathematics & economics
217
Journal of banking & finance
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114
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108
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76
International review of financial analysis
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69
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59
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ECONIS (ZBW)
115
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1
Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt
;
Ziegelmann, Flavio A.
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
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2
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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3
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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4
The performance of the switching forecast model of value-at-risk in the Asian stock markets
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Finance research letters
18
(
2016
),
pp. 43-51
Persistent link: https://www.econbiz.de/10011656521
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5
Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu
;
Gauthier, Geneviève
;
Thomassin, Tommy
- In:
Finance research letters
11
(
2014
)
2
,
pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
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6
More to cryptos than bitcoin : a GARCH modelling of heterogeneous cryptocurrencies
Fung, Kennard
;
Jeong, Jiin
;
Pereira, Javier
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10013457293
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7
Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda
;
León Valle, Ángel Manuel
;
Ñíguez, …
- In:
Finance research letters
43
(
2021
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014633484
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8
Scale-consistent value-at-risk
Lehnert, Thorsten
;
Wolff, Christiaan Cornelis Petrus
- In:
Finance research letters
1
(
2004
)
2
,
pp. 127-134
Persistent link: https://www.econbiz.de/10003307269
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9
Bias of a value-at-risk estimator
Bao, Yong
;
Ullah, Aman
- In:
Finance research letters
1
(
2004
)
4
,
pp. 241-249
Persistent link: https://www.econbiz.de/10003307425
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10
Time-inconsistency of VaR and time-consistent alternatives
Cheridito, Patrick
;
Stadje, Mitja
- In:
Finance research letters
6
(
2009
)
1
,
pp. 40-46
Persistent link: https://www.econbiz.de/10003834758
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