On some models for value-at-risk
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Cites work
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- Censored regression quantiles
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- Least absolute deviations estimation for the censored regression model
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- On a Mixture Autoregressive Conditional Heteroscedastic Model
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- Testing and Modeling Threshold Autoregressive Processes
Cited in
(36)- Statistical methodologies for the market risk measurement
- Empirical likelihood-based evaluations of value at risk models
- Relative risk-value models
- Stable modeling of value at risk
- Multifractal value at risk model
- Model spaces for risk measures
- The axiomatic basis of risk-value models
- How is price explosivity triggered in the cryptocurrency markets?
- A detailed comparison of value at risk estimates
- Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}
- A closed-form solution of the Black-Litterman model with conditional value at risk
- A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps
- Asymmetric dynamics between uncertainty and unemployment flows in the United States
- scientific article; zbMATH DE number 5812404 (Why is no real title available?)
- Improving the value at risk forecasts: theory and evidence from the financial crisis
- Quantile regression estimation for VaR of P-GARCH processes
- A quantile function approach to the distribution of financial returns following TGARCH models
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- A REMARK CONCERNING VALUE-AT-RISK
- Model Risk in Finance: Some Modeling and Numerical Analysis Issues
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- A Bayesian encompassing test using combined value-at-risk estimates
- Using CAViaR models with implied volatility for value-at-risk estimation
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- Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model
- Estimation of value-at-risk using single index quantile regression
- Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
- On conditional risk estimation considering model risk
- A quasi-Bayesian model averaging approach for conditional quantile models
- Evaluation of condition VaR based on threshold quantile regression model
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- A specification test for dynamic conditional distribution models with function-valued parameters
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Bayesian semiparametric Markov switching stochastic volatility model
- Dynamic tail risk connectedness between artificial intelligence and FinTech stocks
- Comparison of value-at-risk models using the MCS approach
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