Similar Search Results

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Adcock, Christopher J. - 2013

Persistent link: https://www.econbiz.de/10013090404

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

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011489216

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401

Persistent link: https://www.econbiz.de/10012110307

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

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - 2014

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...

Persistent link: https://www.econbiz.de/10010402299

Chaos and conditional heteroskedasticity - an experimental study

Kam, Simon W. - 1996

Persistent link: https://www.econbiz.de/10000933312

On the robustness of Ljung-Box and McLeod-Li Q tests : a simulation study

Chen, Yi-ting (contributor) - In: Economics bulletin : EB (2002)

Persistent link: https://www.econbiz.de/10001740184

Non-stationary and no moments asymptotics for the ARCH model

Tolver Jensen, Søren (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001709225

Chicago : A Fast and Accurate Method for Portfolio Risk Calculation

Broda, Simon A. - 2010

fraction of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the … optimization problem can be solved efficiently in the context of the model. A simulation study and an application to stock returns …

Persistent link: https://www.econbiz.de/10013150668