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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

Value-at-risk prediction using option-implied risk measures

Schindelhauer, Kai; Chen Zhou - 2018

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Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models

Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18

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Forecasting VaR models under different volatility processes and distributions of return innovations

Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531

Persistent link: https://www.econbiz.de/10011282095

HCR & HCR-GARCH - novel statistical learning models for value at risk estimation

Woźniak, Michał; Chlebus, Marcin - 2021

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Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Persistent link: https://www.econbiz.de/10012795821