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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian; Gallo, Giampiero M. - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
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Value-at-risk prediction : a comparison of alternative strategies
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 53-89
Persistent link: https://www.econbiz.de/10003313345
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Measuring event risk
Nyberg, Peter; Wilhelmsson, Anders - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 265-287
Persistent link: https://www.econbiz.de/10003884188
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Chicago: a fast and accurate method for portfolio risk calculation
Broda, Simon A.; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 412-436
Persistent link: https://www.econbiz.de/10003907527
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
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Nonparametric estimation of expected shortfall
Chen, Song Xi - In: Journal of financial econometrics : official journal of … 6 (2008) 1, pp. 87-107
Persistent link: https://www.econbiz.de/10003669257
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Estimating value at risk and expected shortfall using expectiles
Taylor, James W. - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 231-252
Persistent link: https://www.econbiz.de/10003687929
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Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 253-270
Persistent link: https://www.econbiz.de/10003687936
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Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44
Persistent link: https://www.econbiz.de/10010519664