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ECONIS (ZBW)
40,050
RePEc
9
BASE
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1
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1
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1
Robust value at risk prediction
Mancini, Loriano
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674273
Saved in:
2
Robust value at risk prediction
Mancini, Loriano
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003550862
Saved in:
3
Robust Value at Risk Prediction : Appendix
Mancini, Loriano
-
2010
forecast evaluation; provides additional Monte Carlo
simulation
results on GARCH model
estimation
and VaR prediction; extends …This appendix extends
simulation
and empirical results reported in Mancini and Trojani (2010). It discusses the choice …
Persistent link: https://www.econbiz.de/10013138328
Saved in:
4
Robust value at risk prediction
Mancini, Loriano
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
Saved in:
5
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
6
Backtesting global growth-at-Risk
Brownlees, Christian
;
Souza, André B. M.
- In:
Journal of monetary economics
118
(
2021
),
pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
Saved in:
7
Value-at-Risk Forecasting Ability of Filtered Historical
Simulation
for Non-Normal GARCH Returns
Adcock, Christopher J.
-
2013
Persistent link: https://www.econbiz.de/10013090404
Saved in:
8
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
9
Multivariate Nonparametric
Estimation
of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value
Theory
Brauchler, Ryan
-
2012
extreme value
theory
(EVT) to propose a multivariate
estimation
procedure for value-at-risk (VaR) and expected shortfall (ES … estimators of market risk. Despite advances in the
theory
and practice of evaluating risk, existing measures are notoriously poor … contrast them with the popular Gaussian GARCH estimator in an extensive Monte Carlo
simulation
. The method we propose generally …
Persistent link: https://www.econbiz.de/10013100621
Saved in:
10
Backtesting the evaluation of Value-at-Risk methods for exchange rates
Mrkvička, Tomáš
;
Krásnická, Martina
;
Friebel, Ludvík
- In:
Studies in economics and finance
40
(
2023
)
1
,
pp. 175-191
Persistent link: https://www.econbiz.de/10013503890
Saved in:
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