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Frontiers in VaR forecasting and backtesting

Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501

Persistent link: https://www.econbiz.de/10011597163

The third demographic dividend : measuring the "demographic tax" in the Arab countries in transition

Dufrénot, Gilles - 2018

Persistent link: https://www.econbiz.de/10012060292

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

CVaR quadrangle and mixed-quantile quadrangle for discrete distributions with equally probable atoms. The deviation in the … two sets of parameters for the mixed-quantile quadrangle. For the first set of parameters, the minimization of error from … the CVaR quadrangle is equivalent to the minimization of the Rockafellar error from the mixed-quantile quadrangle …

Persistent link: https://www.econbiz.de/10012025262

An integral representation of elasticity and sensitivity for stochastic volatility models

Cui, Zhenyu; Nguyen, Duy; Park, Hyungbin - In: Mathematics and financial economics 12 (2018) 2, pp. 249-274

Persistent link: https://www.econbiz.de/10011963852

The impact of input and output decisions on agricultural production risk

Chavas, Jean-Paul; Cooper, Joseph C.; Wallander, Steven - In: Journal of agricultural and resource economics : JARE ; … 44 (2019) 3, pp. 513-535

Persistent link: https://www.econbiz.de/10012112115

Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model

Siddiqui, Saif; Roy, Preeti - In: Decision 46 (2019) 3, pp. 239-252

Persistent link: https://www.econbiz.de/10012116134

Voluntary lock-up provisions and performance of IPOs : effects of information asymmetry

Rasidah Mohd-Rashid; Abdul-Rahim, Ruzita; Norliza Che Yahya - In: Journal of economic cooperation & development 38 (2017) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10011917774

Backtesting value‐at‐risk : a generalized Markov test

Pajhede, Thor - In: Journal of forecasting 36 (2017) 5, pp. 597-613

Persistent link: https://www.econbiz.de/10011860704

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

Persistent link: https://www.econbiz.de/10011866456

Okun's law revisited : a threshold in regression quantiles approach

Wang, Xiuhua; Huang, Ho-chuan - In: Applied economics letters 24 (2017) 21, pp. 1533-1541

Persistent link: https://www.econbiz.de/10011853463