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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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Non-parametic liquidity-adjusted VaR model : a stochastic programming approach
Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils S.; … - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 109-116
Persistent link: https://www.econbiz.de/10008937101
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A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
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First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J. - 2009
Persistent link: https://www.econbiz.de/10003932677
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On the impact of hidden trends for a compound poisson model with pareto-type claims
Grandits, Peter; Kainhofer, Reinhold; Temnov, Grigory - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10008905099
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
A simple methodology is presented for modeling time variation in volatilities and other higher-order moments using a recursive updating scheme similar to the familiar RiskMetricsTM approach. We update parameters using the score of the forecasting distribution. This allows the parameter dynamics...
Persistent link: https://www.econbiz.de/10011332948
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Risk measures in optimization problems via empirical estimates
Kaňková, Vlasta - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 162-177
Persistent link: https://www.econbiz.de/10010341116
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922