GFC-robust risk management under the Basel accord using extreme value methodologies
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Publication:2227447
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A new class of independence tests for interval forecasts evaluation
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimating tails of probability distributions
- Generalized autoregressive conditional heteroscedasticity
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Residual life time at great age
- Stationarity and the existence of moments of a family of GARCH processes.
- Statistical inference using extreme order statistics
Cited in
(4)- A new risk measure MMVaR: properties and empirical research
- Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
- Forecasting risk via realized GARCH, incorporating the realized range
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
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