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A new semiparametric mirrored historical simulation value-at-risk model

Radivojević, Nikola; Filipović, Luka; Brzaković, … - In: Romanian journal of economic forecasting 23 (2020) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10012421878

Comparison of methods for estimating the uncertainty of value at risk

Gamba-Santamaria, Santiago; Jaulin-Mendez, Oscar Fernando; … - In: Studies in economics and finance 33 (2016) 4, pp. 595-624

Persistent link: https://www.econbiz.de/10011722562

Comparison of methods for estimating the uncertainty of value at risk?

Gamba Santamaría, Santiago; Jaulín Méndez, Oscar Fernando - 2016

Persistent link: https://www.econbiz.de/10011580566

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

Nonparametric estimation of systemic risk via conditional value-at-risk

Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10013549675

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

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106

fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias … to accurate for the tendency of the model tomiscalculate the VaR. Empirical results indicate that the bias … distribution instead of GARCH improves the performance of the bias-correction method in forecasting the VaR for almost all …

Persistent link: https://www.econbiz.de/10011632622

Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information

Xu, Yan; Wang, Xinyu; Liu, Hening - In: Finance research letters 43 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014632411

Risk capital and VaR

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 41-52

Persistent link: https://www.econbiz.de/10001497765

Subjectivity in conventional tail measures : an exploratory model with "risks & biases"

Majumder, Debasish - In: Finance research letters 55 (2023) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014473436