Mark to market value at risk (Q1739653): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.jeconom.2018.09.017
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+W2895316051
@@ Property / OpenAlex ID: W2895316051 / rank @@
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@@ Property / cites work @@
+Entropic value-at-risk: a new coherent risk measure
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+A Note on Quantiles in Large Samples
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+Generalized quantiles as risk measures
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@@ Property / cites work @@
+Nonparametric statistics for stochastic processes. Estimation and prediction.
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+Q5293980
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+Asymptotic distribution of the maximum cumulative sum of independent random variables
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+Q4955690
@@ Property / cites work: Q4955690 / rank @@
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@@ Property / cites work @@
+Q4220711
@@ Property / cites work: Q4220711 / rank @@
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@@ Property / cites work @@
+Statistics of financial markets. An introduction
@@ Property / cites work: Statistics of financial markets. An introduction / rank @@
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+High volatility, thick tails and extreme value theory in value-at-risk estimation.
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+Marked point process adjusted tail dependence analysis for high-frequency financial data
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+On the asymptotic distribution of the maximum of sums of a random number of i.i.d. random variables
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+Moment inequalities for mixing sequences of random variables
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+Uniform Limit Theorems for the Maximum Cumulative Sum in Probability
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+Extremal financial risk models and portfolio evaluation
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+On the estimation and application of max-stable processes
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+COHERENCE AND ELICITABILITY
@@ Property / cites work: COHERENCE AND ELICITABILITY / rank @@
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@@ Property / Wikidata QID @@
+Q129130404
@@ Property / Wikidata QID: Q129130404 / rank @@
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