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Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
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Foster-Hart optimal portfolios
Anand, Abhinav; Li, Tiantian; Kurosaki, Tetsuo; Kim, … - In: Journal of banking & finance 68 (2016), pp. 117-130
Persistent link: https://www.econbiz.de/10011634807
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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca; Petrella, Lea; Raponi, Valentina - In: Journal of banking & finance 133 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
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Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W. - In: Journal of banking & finance 140 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
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Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408
Persistent link: https://www.econbiz.de/10010508674
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Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio; Ergün, Tolga A. - In: Journal of banking & finance 37 (2013) 8, pp. 3169-3180
Persistent link: https://www.econbiz.de/10009778470
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Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio; Giudice Rodriguez, Marius del; Wu, Jason - In: Journal of banking & finance 37 (2013) 11, pp. 4299-4309
Persistent link: https://www.econbiz.de/10010247041
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Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.; McNeil, Alexander J. - In: Journal of banking & finance 116 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968