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Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...
Persistent link: https://www.econbiz.de/10011731521
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk 25 (2023) 6, pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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Computing value-at-risk using genetic algorithm
Sharma, Bhanu; Thulasiram, Ruppa K.; Thulasiram, Parimala - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 170-189
Persistent link: https://www.econbiz.de/10010514021
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Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015
Persistent link: https://www.econbiz.de/10011302290
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The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities
O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20
Persistent link: https://www.econbiz.de/10011337224