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Value at risk models in finance
Engle, Robert F.; Manganelli, Simone - 2001
the Historical Simulation method and its variants can be considered as special cases of the CAViaR framework developed by … value theory into the CAViaR model. The second one concerns the estimation of the expected shortfall (the expected loss … estimated quantiles to the true ones. The results show that CAViaR models perform best with heavy-tailed DGP. …
Persistent link: https://www.econbiz.de/10011604121
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - 2010
specifications of the Conditionally Autoregressive VaR (CAViaR) models. …
Persistent link: https://www.econbiz.de/10010270817
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
specifications of the Conditionally Autoregressive VaR (CAViaR) models. …
Persistent link: https://www.econbiz.de/10008629520
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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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Value-at-risk predictive performance: A comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
Serrano Bautista, Ramona; Núñez Mora, José Antonio - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 197-221
-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR … robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods …
Persistent link: https://www.econbiz.de/10013192202
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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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On the factors of Bitcoin's value at risk
Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31
This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...
Persistent link: https://www.econbiz.de/10012798684
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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca; Petrella, Lea; Raponi, Valentina - In: Journal of banking & finance 133 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
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Value-at-risk predictive performance : a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
Serrano Bautista, Ramona; Núñez Mora, José Antonio - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 197-221
-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR … robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods …
Persistent link: https://www.econbiz.de/10012813839
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An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388
Persistent link: https://www.econbiz.de/10012030985