Similar Search Results

Narrow search

Une évaluation des procédures de Backtesting : "tout va pour le mieux dans le meilleur des mondes"

Hurlin, Christophe; Tokpavi, Sessi - In: Finance : revue de l'Association Française de Finance 29 (2008) 1, pp. 53-80

Persistent link: https://www.econbiz.de/10003730239

Un test de validité de la Value at Risk

Hurlin, Christophe; Tokpavi, Sessi - In: Revue économique : revue bimestrielle 58 (2007) 3, pp. 599-608

Persistent link: https://www.econbiz.de/10003459676

Backtesting value-at-risk : a GMM duration-based test

Candelon, Bertrand; Colletaz, Gilbert; Hurlin, Christophe; … - 2009

Persistent link: https://www.econbiz.de/10003938576

Backtesting value-at-risk accuracy: a simple new test

Hurlin, Christophe; Tokpavi, Sessi - In: Journal of risk 9 (2006/07) 2, pp. 19-37

Persistent link: https://www.econbiz.de/10003697509

Testing for Granger causality in distribution tails : an application to oil markets integration

Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285

Persistent link: https://www.econbiz.de/10009729103

Forecasting high-frequency risk measures

Banulescu, Denisa; Colletaz, Gilbert; Hurlin, Christophe; … - In: Journal of forecasting 35 (2016) 3, pp. 224-249

Persistent link: https://www.econbiz.de/10011580273

Measuring network systemic risk contributions : a leave-one-out approach

Hué, Sullivan; Lucotte, Yannick; Tokpavi, Sessi - In: Journal of economic dynamics & control 100 (2019), pp. 86-114

Persistent link: https://www.econbiz.de/10012130949

Measuring Network Systemic Risk Contributions : A Leave-One-Out Approach

Hué, Sullivan - 2018

Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financial Economics], as they help in evaluating how far the distress of one institution is disseminated across the whole of the financial...

Persistent link: https://www.econbiz.de/10012914146