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Forecasting VaR models under different volatility processes and distributions of return innovations

Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531

Persistent link: https://www.econbiz.de/10011282095

Backtesting extreme value theory models of expected shortfall

Novales, Alfonso; Garcia-Jorcano, Laura - In: Quantitative finance 19 (2019) 5, pp. 799-825

Persistent link: https://www.econbiz.de/10012194717

Skewed noise

Dillenberger, David; Segal, Uzi - In: Journal of economic theory 169 (2017), pp. 344-364

Persistent link: https://www.econbiz.de/10011747758

A comparison of market risk measures from a twofold perspective : accurate and loss function

Muela, Sonia Benito; López-Martin, Carmen; … - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 79-104

risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT …

Persistent link: https://www.econbiz.de/10014235034

Lining up : survey and administrative data estimates of wealth concentration

Kennickell, Arthur B. - 2017

The Survey of Consumer Finances (SCF) has a dual-frame sample design that supplements a standard area-probability frame with a sample of observations drawn from statistical records derived from tax returns. The tax-based frame is stratified on the basis of a "wealth index" constructed largely...

Persistent link: https://www.econbiz.de/10011708254