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A multiple regime extension to the Heston–Nandi GARCH(1,1) model

Díaz-Hernández, Adán; Constantinou, Nick - In: Journal of empirical finance 53 (2019), pp. 162-180

Persistent link: https://www.econbiz.de/10012171628

Measuring risks in the tail: the extreme VaR and its confidence interval

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224

Persistent link: https://www.econbiz.de/10011925077

The Spectral Stress VaR (SSVaR)

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - 2015

Persistent link: https://www.econbiz.de/10011635436

Regression-based expected shortfall backtesting

Bayer, Sebastian; Dimitriadis, Timo - In: Journal of financial econometrics 20 (2022) 3, pp. 437-471

Persistent link: https://www.econbiz.de/10013349110

Conditional Value-at-Risk : semiparametric estimation and inference

Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103

Persistent link: https://www.econbiz.de/10011705234

The stress-dependent random walk

Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10011419399

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...

Persistent link: https://www.econbiz.de/10011890772

Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052

Persistent link: https://www.econbiz.de/10010513350

Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach

Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016

Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true …

Persistent link: https://www.econbiz.de/10011420698

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

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