Similar Search Results

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

Measuring model risk in the European Energy Exchange

Gianfreda, Angelica; Scandolo, Giacomo - In: Handbook of recent advances in commodity and financial …, (pp. 89-110). 2018

Persistent link: https://www.econbiz.de/10011898620

Accounting-Based Risk Measurement - Evidence for the German Market

Mehring, Oliver - 2022

I implement the accounting-based risk measurement approach in equity valuation proposed by Nekrasov and Shroff (2009 … this risk measurement approach produce a signiﬁcantly smaller valuation inaccuracy relative to the market-based approach … intrinsic value estimate based on the accounting approach. Additionally, the estimated risk can be transformed to obtain …

Persistent link: https://www.econbiz.de/10013301438

The day-of-the-week effect revisited : an alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10009725480