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An econometric approach to incorporating non-normality in VaR measurement

Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98

Persistent link: https://www.econbiz.de/10011543127

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates

Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538

Persistent link: https://www.econbiz.de/10003741298

The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection

Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571

Persistent link: https://www.econbiz.de/10008736138

Model risk in portfolio optimization

Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 3, pp. 315-348

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

Persistent link: https://www.econbiz.de/10010400258

Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

Trucíos, Carlos - 2017

these forecasts. In this paper we analyse these effects on the context of dynamic conditional correlation (DCC) models when … for return, volatilities, conditional correlation and VaR that is robust to outliers. The results are illustrated with …

Persistent link: https://www.econbiz.de/10012956168