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The Hill estimator in financial risk assessment and an application to extremal exchange rate risk
Wagner, Niklas F. - In: Financial risk and financial risk management, (pp. 173-187). 2002
Persistent link: https://www.econbiz.de/10001755640
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A simple estimate of VaR under GARCH modelling
Habibi, Reza - In: Ekonomia : the journal of the Cyprus Economic Society 14 (2011) 2, pp. 127-137
Persistent link: https://www.econbiz.de/10009736578
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
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Modifikation der Verteilungsannahme im Value-at-Risk-Modell
Jödicke, Ralf; Schremper, Ralf - 1999
Persistent link: https://www.econbiz.de/10001404275
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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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Combining non-constant weights with historical simulation VaR
Rebonato, Riccardo; Shanbhogue, Vasant - In: Journal of risk management in financial institutions 3 (2009/10) 4, pp. 392-404
Persistent link: https://www.econbiz.de/10008736815
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Analyzing non-agency RMBS : a practical application of option-adjusted returns
Cooperstein, Richard L. - In: The journal of structured finance 18 (2012) 2, pp. 27-32
Persistent link: https://www.econbiz.de/10009583727
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A comparison of several procedures for estimating value-at-risk in mature and emerging markets
Mihailescu, Laurenţiu - 2002
Persistent link: https://www.econbiz.de/10001693163