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Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001596369

Modelling daily value-at-risk using realized volatility and Arch type models

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001638521

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664

Persistent link: https://www.econbiz.de/10001843499

Market risk in commodity markets : a VaR approach

Giot, Pierre; Laurent, Sébastien - In: Energy economics 25 (2003) 5, pp. 435-457

Persistent link: https://www.econbiz.de/10001790694

Market risk in commodity markets : a VaR approach

Giot, Pierre; Laurent, Sébastien - 2003

Persistent link: https://www.econbiz.de/10001791292

Modelling daily value-at-risk using realized volatility and ARCH type models

Giot, Pierre; Laurent, Sébastien - In: Journal of empirical finance 11 (2004) 3, pp. 379-398

Persistent link: https://www.econbiz.de/10002050367

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001590396

Risk Measure Inference

Hurlin, Christophe - 2015

We propose a widely applicable bootstrap based test of the null hypothesis of equality of two firms' Risk Measures (RMs) at a single point in time. The test can be applied to any market-based measure. In an iterative procedure, we can identify a complete grouped ranking of the RMs, with...

Persistent link: https://www.econbiz.de/10013034839

Risk measure inference

Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512

Persistent link: https://www.econbiz.de/10011893687