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Estimation
Risikomaß
7,514
Risk measure
7,497
Theorie
3,618
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3,598
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2,746
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2,735
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McAleer, Michael
21
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11
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9
Paolella, Marc S.
9
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8
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8
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8
Asai, Manabu
7
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7
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6
Francq, Christian
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6
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Jiang, Hao
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Kratz, Marie
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Pei, Pei
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Scharth, Marcel
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Singh, Abhay Kumar
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Zakoïan, Jean-Michel
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Ardison, Kym
5
Cai, Zongwu
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Chlebus, Marcin
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Dionne, Georges
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Du, Zaichao
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Gerlach, Richard
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Giudici, Paolo
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Finance research letters
25
Journal of banking & finance
25
Journal of risk
23
The North American journal of economics and finance : a journal of financial economics studies
20
Applied economics
18
Energy economics
18
Economic modelling
16
International journal of forecasting
16
International review of financial analysis
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of econometrics
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The journal of risk model validation
14
Journal of empirical finance
13
Insurance / Mathematics & economics
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Risks : open access journal
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Discussion paper / Tinbergen Institute
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Quantitative finance
11
International review of economics & finance : IREF
10
Research in international business and finance
10
Working papers
10
Journal of risk and financial management : JRFM
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
CFS working paper series
8
Journal of financial econometrics
8
Pacific-Basin finance journal
8
Economics letters
7
Journal of forecasting
7
Journal of international financial markets, institutions & money
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Econometric Institute research papers
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ECONIS (ZBW)
1,108
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1
Précisions importantes sur le
backtesting
comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
2
Backtesting
expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad
- In:
Applied economics letters
25
(
2018
)
3
,
pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
Saved in:
3
Backtesting
expected shortfall : accounting for tail risk
Du, Zaichao
;
Escanciano, Juan Carlos
-
2015
Persistent link: https://www.econbiz.de/10010532092
Saved in:
4
The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012545817
Saved in:
5
Backtesting
expected shortfall : accounting for tail risk
Du, Zaichao
;
Escanciano, Juan Carlos
- In:
Management science : journal of the Institute for …
63
(
2017
)
4
,
pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
Saved in:
6
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
Saved in:
7
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
8
A note on stochastic volatility model estimation
Abbara, Omar
;
Zevallos, Mauricio
- In:
Revista Brasileira de Finanças : RBFin
17
(
2019
)
4
,
pp. 22-32
Persistent link: https://www.econbiz.de/10012221531
Saved in:
9
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
Saved in:
10
Multinomial VaR backtests : a simple implicit approach to
backtesting
expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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