Estimation-adjusted VaR
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Recommendations
Cites work
- Accurate value-at-risk forecasting based on the normal-GARCH model
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Exact tests in single equation autoregressive distributed lag models
- GARCH processes: structure and estimation
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Interval forecasts and parameter uncertainty
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- NOTES ON BIAS IN ESTIMATION
- The efficiency of the estimators of the parameters in GARCH processes.
- VaR is subject to a significant positive bias
Cited in
(15)- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- After VAR: the theory, estimation, and insurance applications of quantile-based risk measures
- Assessing model risk in financial and energy markets using dynamic conditional vars
- VaR is subject to a significant positive bias
- Efficiency of the smoothed VaR estimator in financial risk management
- Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach
- Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default
- Risk Measure Inference
- Nonparametric risk management and implied risk aversion
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- The improved value-at-risk for heteroscedastic processes and their coverage probability
- A note on pivotal value-at-risk estimates
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Verification of internal risk measure estimates
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
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