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A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
for multiple time series is particularly useful if one wants to assess Value-at-Risk (or Expected Shortfall) predictions …
Persistent link: https://www.econbiz.de/10010250513
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A new bootstrap test for multiple assets joint risk testing
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart - In: Journal of risk 19 (2016/2017) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
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Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon; Jung, Whayoung; Lee, Ji Hyung - In: Journal of financial econometrics 22 (2024) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
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Estimating risk with copulas
Mihaylova, Iva - 2014
Persistent link: https://www.econbiz.de/10010366882
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Schätzrisiken in der Portfoliotheorie : Auswirkungen und Möglichkeiten der Reduktion
Memmel, Christoph - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002477202
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Estimating Low Sampling Frequency Risk Measure by High-Frequency Data
Wesselhöfft, Niels - 2020
Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …
Persistent link: https://www.econbiz.de/10012827639
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
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Estimating and testing nonlinear local dependence between two time series
Lacal, Virginia; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 648-660
Persistent link: https://www.econbiz.de/10012179003