CAViaR
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Cited in
(only showing first 100 items - show all)- Accurate value-at-risk forecasting based on the normal-GARCH model
- Empirical likelihood-based evaluations of value at risk models
- Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- franz
- expectgee
- expectreg
- An MCMC approach to classical estimation.
- MCS
- AS 99
- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- Nonparametric estimates for conditional quantiles of time series
- Bayesian estimation of smoothly mixing time-varying parameter GARCH models
- Variance clustering improved dynamic conditional correlation MGARCH estimators
- A smooth block bootstrap for quantile regression with time series
- A hybrid spline-based parametric model for the yield curve
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model
- Mark to market value at risk
- Risk management of time varying floors for dynamic portfolio insurance
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Probabilistic forecasting of wind power ramp events using autoregressive logit models
- Time-varying quantile association regression model with applications to financial contagion and VaR
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- Linear double autoregression
- Financial econometrics: Past developments and future challenges
- Financial econometrics -- a new discipline with new methods. (With comments)
- A new class of independence tests for interval forecasts evaluation
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- LMOMENTS
- Inference for conditional value-at-risk of a predictive regression
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Capturing deep tail risk via sequential learning of quantile dynamics
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- Adjusted extreme conditional quantile autoregression with application to risk measurement
- The \(k\)th power expectile regression
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- High frequency-based quantile forecast and combination: an application to oil market
- Asymptotic properties of duration-based VaR backtests
- Uniform calibration tests for forecasting systems with small lead time
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Hybrid quantile estimation for asymmetric power GARCH models
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Test for conditional quantile change in GARCH models
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement
- Quantile hidden semi-Markov models for multivariate time series
- Liquidity and volatility in the U.S. Treasury market
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Research on RMB exchange rate volatility risk based on MSGARCH-VaR model
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- A novel grey prediction model based on quantile regression
- GFC-robust risk management under the Basel accord using extreme value methodologies
- A detailed comparison of value at risk estimates
- Forecasting value-at-risk with a duration-based POT method
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- gldex
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}
- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- FinTS
- Econometric modeling of risk measures: a selective review of the recent literature
- A new approach to measure systemic risk: a bivariate copula model for dependent censored data
- Test for tail index constancy of GARCH innovations based on conditional volatility
- Two-sided exponential-geometric distribution: inference and volatility modeling
- Measuring contagion of subprime crisis based on MVMQ-CAViaR method
- Network quantile autoregression
- QRM
- On the predictive risk in misspecified quantile regression
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons
- Residual-based rank specification tests for AR-GARCH type models
- Bad environments, good environments: a non-Gaussian asymmetric volatility model
- Conditional quantiles and tail dependence
- Reduced form vector directional quantiles
- Risk measures in a quantile regression credibility framework with Fama/French data applications
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- WeightedPortTest
- Assessing interbank contagion using simulated networks
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- Intradaily dynamic portfolio selection
- Efficient estimation of a semiparametric dynamic copula model
- Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
- A conditional-SGT-VaR approach with alternative GARCH models
- Estimating value at risk with semiparametric support vector quantile regression
- Optimal smoothing in nonparametric conditional quantile derivative function estimation
- Credible risk measures with applications in actuarial sciences and finance
- Verification of internal risk measure estimates
- Rugarch
- LSD
- ssym
- Quantiles, expectiles and splines
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