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Backtesting of value at risk methodology : analysis of banking shares in India
Patra, Biswajit; Padhi, Puja - In: Margin: the journal of applied economic research 9 (2015) 3, pp. 254-277
Persistent link: https://www.econbiz.de/10011400407
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Estimating Value at Risk (VaR) using filtered historical simulation in the Indian capital market
Roy, Indrajit - In: Occasional papers / Reserve Bank of India 32 (2011) 2, pp. 81-98
Persistent link: https://www.econbiz.de/10010245725
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Estimation of tail-related risk measures in the Indian stock market : an extreme value approach
Karmakar, Madhusudan - In: Review of financial economics : RFE 22 (2013) 3, pp. 79-85
Persistent link: https://www.econbiz.de/10010213379
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Value at risk models in Indian markets : a predictive ability evaluation study
Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838
Persistent link: https://www.econbiz.de/10012214623
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Intra-daily FX optimal portfolio allocation
Bauwens, Luc (contributor); Ben Omrane, Walid (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003326698
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An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market
Iglesias, Emma M. - In: Applied economics 44 (2012) 34/36, pp. 4631-4637
Persistent link: https://www.econbiz.de/10009713374
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FX strategies in periods of distress
Gyntelberg, Jacob; Schrimpf, Andreas - In: BIS quarterly review : international banking and … (2011), pp. 29-40
Persistent link: https://www.econbiz.de/10009419357
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Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
Su, Jung-bin - In: Economic modelling 46 (2015), pp. 204-224
Persistent link: https://www.econbiz.de/10011436595
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Carry trades and tail risk of exchange rates
Ganepola, Chanaka N. - In: Staff studies : official journal of the Central Bank of … 44 (2014) 1/2, pp. 69-108
Persistent link: https://www.econbiz.de/10011534942
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Using conditional Copula to estimate value-at-risk in Vietnam's foreign exchange market
Nguyen, Vu-Linh; Huynh, Van-Nam - In: Econometrics of risk, (pp. 471-482). 2015
Persistent link: https://www.econbiz.de/10010498494