Pages that link to "Item:Q5746742"
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The following pages link to Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742):
Displaying 3 items.
- Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model (Q2666309) (← links)
- Two-step methods in VaR prediction and the importance of fat tails (Q4683039) (← links)
- GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (Q5092644) (← links)
