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Robust value at risk prediction
Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674273
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Robust value at risk prediction
Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003550862
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Robust Value at Risk Prediction : Appendix
Mancini, Loriano - 2010
forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice …
Persistent link: https://www.econbiz.de/10013138328
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Robust value at risk prediction
Mancini, Loriano; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
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Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of banking & finance 118 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
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Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10012027037
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Backtesting global growth-at-Risk
Brownlees, Christian; Souza, André B. M. - In: Journal of monetary economics 118 (2021), pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
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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
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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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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES … estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … contrast them with the popular Gaussian GARCH estimator in an extensive Monte Carlo simulation. The method we propose generally …
Persistent link: https://www.econbiz.de/10013100621