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Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz; Chlebus, Marcin - Uniwersytet Warszawski / Wydział Nauk Ekonomicznych - 2019
Persistent link: https://www.econbiz.de/10012041611
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The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 16 (2022) 1, pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322119
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Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 14 (2020) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014335934