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Backtesting VaR and ES under the magnifying glass
Argyropoulos, Christos; Panopulu, Aikaterinē - In: International review of financial analysis 64 (2019), pp. 22-37
Persistent link: https://www.econbiz.de/10012208280
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Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: International review of financial analysis 70 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012318296
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Is Bitcoin a better portfolio diversifier than gold? : a copula and sectoral analysis for China
Pho, Kim-Hung; Ly, Sel; Lu, Richard; Hoang, Thi Hong Van; … - In: International review of financial analysis 74 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
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VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo; Lazar, Emese; Nakata, Keiichi - In: International review of financial analysis 92 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
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From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures
Zaevski, Tsvetelin S.; Nedeltchev, Dragomir C. - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460567
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Conditional VaR using EVT : towards a planned margin scheme
Bhattacharyya, Malay; Ritolia, Gopal - In: International review of financial analysis 17 (2008) 2, pp. 382-395
Persistent link: https://www.econbiz.de/10003765109
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Modelling the implied volatility surface : does market efficiency matter? ; An application to MIB30 index options
Cassese, Gianluca; Guidolin, Massimo - In: International review of financial analysis 15 (2006) 2, pp. 145-178
Persistent link: https://www.econbiz.de/10003320649
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The CAPM and value at risk at different time-scales
Fernández, Viviana - In: International review of financial analysis 15 (2006) 3, pp. 203-219
Persistent link: https://www.econbiz.de/10003348571
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Extreme observations and risk assessment in the equity markets of MENA region : tail measures and Value-at-Risk
Assaf, Ata - In: International review of financial analysis 18 (2009) 3, pp. 109-116
Persistent link: https://www.econbiz.de/10003880019