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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …
Persistent link: https://www.econbiz.de/10009765347
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Optionsbewertung und Risikomessung mit impliziten Binomialbäumen
Neumann, Marco - 1999
Persistent link: https://www.econbiz.de/10001374429
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Evaluating density forecasts from models of stock market returns
Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10002841826
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002
in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …
Persistent link: https://www.econbiz.de/10001657476
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …
Persistent link: https://www.econbiz.de/10011431370
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide …
Persistent link: https://www.econbiz.de/10012910119
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Accounting for nonnormality in liquidity risk
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - In: Journal of risk 14 (2011/12) 3, pp. 3-21
Persistent link: https://www.econbiz.de/10009531011
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Verifizierung der Güte und Aussagekraft von verteilungsgestützten Marktpreisrisikomodellen : eine empirische Untersuchung
Gremmelmaier, Jakob - 2014 - 1., Aufl
Persistent link: https://www.econbiz.de/10010413396