An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1111/insr.12393
+Normal rank
@@ Property / OpenAlex ID @@
+W3044102127
@@ Property / OpenAlex ID: W3044102127 / rank @@
+Normal rank
@@ Property / cites work @@
+A detailed comparison of value at risk estimates
@@ Property / cites work: A detailed comparison of value at risk estimates / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Q5175664
@@ Property / cites work: Q5175664 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Q3099631
@@ Property / cites work: Q3099631 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
+Normal rank
@@ Property / cites work @@
+Q4370586
@@ Property / cites work: Q4370586 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+On Bayesian Modeling of Fat Tails and Skewness
@@ Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
+Normal rank
@@ Property / cites work @@
+Evaluating Value-at-Risk Models via Quantile Regression
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
+Normal rank
@@ Property / cites work @@
+Q3413299
@@ Property / cites work: Q3413299 / rank @@
+Normal rank
@@ Property / cites work @@
+NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
+Normal rank
@@ Property / cites work @@
+Incorporating higher moments into value-at-risk forecasting
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4865051
@@ Property / cites work: Q4865051 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for the linear kernel quantile estimator
+Normal rank
@@ Property / cites work @@
+On Some Models for Value-At-Risk
@@ Property / cites work: On Some Models for Value-At-Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6088259