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Assurances et gestion des risques : revue trimestrielle
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ECONIS (ZBW)
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La performance et le conservatisme de modèles VAR mensuelle
Chrétien, Stéphane
;
Coggins, Frank
;
Gallant, Paul
- In:
Assurances et gestion des risques : revue trimestrielle
76
(
2008
)
2
,
pp. 169-202
Persistent link: https://www.econbiz.de/10003773252
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2
Performance of monthly multivariate filtered historical simulation value-at-risk
Chrétien, Stéphane
;
Coggins, Frank
;
Trudel, Yves
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
3
,
pp. 259-277
Persistent link: https://www.econbiz.de/10003991500
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3
Performance and conservatism of monthly FHS VaR : an international investigation
Chrétien, Stéphane
;
Coggins, Frank
- In:
International review of financial analysis
19
(
2010
)
5
,
pp. 323-333
Persistent link: https://www.econbiz.de/10009272652
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