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Forecasting robust value-at-risk estimates : evidence from UK banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975

Persistent link: https://www.econbiz.de/10012696799

M-quantile estimation for GARCH models

Patrocinio, Patrick F.; Reisen, Valdério Anselmo; … - In: Computational economics 63 (2024) 6, pp. 2175-2192

Persistent link: https://www.econbiz.de/10014636726

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

Assessment of uncertainty in high frequency data : the observed asymptotic variance

Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 197-231

Persistent link: https://www.econbiz.de/10011738478

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

Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data

Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877

Persistent link: https://www.econbiz.de/10003776390

Extreme value theory for GARCH processes

Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 187-200). 2009

Persistent link: https://www.econbiz.de/10003833941

Extreme Value Theory and Value at Risk : application to oil market

Marimoutou, Velayoudoum; Raggad, Bechir; Trabelsi, … - In: Energy economics 31 (2009) 4, pp. 519-530

Persistent link: https://www.econbiz.de/10003867804

Extreme value GARCH modelling with Bayesian inference

Zhao, Xin; Oxley, Les; Scarrott, Carl; Reale, Marco - 2009

Persistent link: https://www.econbiz.de/10003871114

Value-at-risk : techniques to account for leptokurtosis and asymmetric behavior in returns distribtions

Lechner, Lindsay A.; Ovaert, Timothy C. - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 464-480

Persistent link: https://www.econbiz.de/10008778709

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