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An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk 25 (2023) 6, pp. 53-71
Persistent link: https://www.econbiz.de/10014546366
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Risk analysis via generalized pareto distributions
He, Yi; Peng, Liang; Zhang, Dabao; Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 852-867
Persistent link: https://www.econbiz.de/10013534572
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An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk : JOR 25 (2023) 6, pp. 53-71
Persistent link: https://www.econbiz.de/10014487234
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Credible value-at-risk
Mitic, Peter - In: The journal of operational risk 18 (2023) 4, pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
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A residual bootstrap for conditional Value-at-Risk
Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan - In: Journal of econometrics 238 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015073889
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Frontiers: the identity fragmentation bias
Lin, Tesary; Misra, Sanjog - In: Marketing science 41 (2022) 3, pp. 433-440
Persistent link: https://www.econbiz.de/10013363764
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Valuing risk reductions : testing for range biases in payment card and random card sorting methods
Bateman, Ian (contributor); Covey, Judith (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003159522
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Bias of a value-at-risk estimator
Bao, Yong; Ullah, Aman - In: Finance research letters 1 (2004) 4, pp. 241-249
Persistent link: https://www.econbiz.de/10003307425
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Estimation adjusted VaR
Gouriéroux, Christian; Zakoïan, Jean-Michael - 2012
Persistent link: https://www.econbiz.de/10009748868
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Return predictability and intertemporal asset allocation : evidence from a bias-adjusted VAR model
Engsted, Tom; Pedersen, Thomas Q. - In: Journal of empirical finance 19 (2012) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10009615710