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Bootstrapping factor models with cross sectional dependence

Gonçalves, Sílvia; Perron, Benoit - 2018

Persistent link: https://www.econbiz.de/10011884019

Hitczenko, Marcin - 2021

This paper develops a two-stage statistical analysis to identify and assess the effect of a sample bias associated with …

Persistent link: https://www.econbiz.de/10012425350

Sustainability of European fiscal balances : just a statistical artifact?

Rengel, Malte - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1681-1712

Persistent link: https://www.econbiz.de/10012219682

Forecast evaluation with shared data sets

Sullivan, Ryan - 2001

Persistent link: https://www.econbiz.de/10013423660

On extreme perception bias

Molina, Imelda Revilla; Aguilar, Emerico Habacon; … - In: DLSU business & economics review 29 (2020) 2, pp. 81-92

Persistent link: https://www.econbiz.de/10013465871

Using weighted distributions to model operational risk

Afonso, Lourdes B.; Real, Pedro Corte - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 469-485

Persistent link: https://www.econbiz.de/10011576788

Forecasting short-run inflation volatility using futures prices : an empirical analysis from a value at risk perspective

Benavides, Guillermo - 2010

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...

Persistent link: https://www.econbiz.de/10008737147

Risk management for linear and non-linear assets : a bootstrap method with importance resampling to evaluate value-at-risk

Lin, Shih-kuei; Wang, Ren-her; Fuh, Cheng-der - In: Asia-Pacific financial markets 13 (2006) 3, pp. 261-295

Persistent link: https://www.econbiz.de/10003609500

Uncertainty in value-at-risk estimates under parametric and non-parametric modeling

Aussenegg, Wolfgang; Miazhynskaia, Tatiana - In: Financial markets and portfolio management 20 (2006) 3, pp. 243-264

Persistent link: https://www.econbiz.de/10003392305

Value-at-risk analysis for the Tunisian currency market : a comparative study

Ben Rejeb, Aymen; Ben Salha, Ousama; Ben Rejeb, Jaleleddine - In: International journal of economics and financial issues … 2 (2012) 2, pp. 110-125

Persistent link: https://www.econbiz.de/10009579532