A detailed comparison of value at risk estimates
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Publication:2227451
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Cites work
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- A generalization of the beta distribution with applications
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- Financial data and the skewed generalized \(t\) distribution
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- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- On some models for value-at-risk
- Stationarity and the existence of moments of a family of GARCH processes.
Cited in
(40)- Estimation of value at risk: extreme value and robust approaches
- Tabulations for value at risk and expected shortfall
- Alternative approximations to value-at-risk: a comparison
- Evaluating risk in precious metal prices with generalised lambda, generalised Pareto and generalised extreme value distributions
- Improving Hull and White's method of estimating portfolio value-at-risk
- Value-at-risk estimation for an equity portfolio of a Serbian bank
- Conditional tail behaviour and Value at Risk
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
- Term structure of risk under alternative econometric specifications
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- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- FIGARCH-type models and VaR based on skewed student \(t\)-distribution
- An evaluating method of volatility models: goodness-of-fit and smoothness
- A quantitative comparison of risk measures
- Comparison of value-at-risk models using the MCS approach
- Value-at-Risk Prediction: A Comparison of Alternative Strategies
- Conditional VaR estimation using Pearson's type IV distribution
- Intraday value-at-risk: an asymmetric autoregressive conditional duration approach
- A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
- Estimating value-at-risk for Chinese stock market by switching regime ARCH model
- A comparison of several time-series models for assessing the value at risk of shares
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- The use of GARCH models in VaR estimation
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- Combine GARCH model and neural networks to forecast Value at Risk (VAR) in the futures market
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- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- A conditional-SGT-VaR approach with alternative GARCH models
- Semi-parameter approach based on EGARCH-VaR model and empirical research
- The improved value-at-risk for heteroscedastic processes and their coverage probability
- A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
- Two-step methods in VaR prediction and the importance of fat tails
- A Bayesian encompassing test using combined value-at-risk estimates
- A dominance approach for comparing the performance of VaR forecasting models
- Multi-agent-based VaR forecasting
- How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
- Truncated skewed type III generalized logistic distribution: risk measurement applications
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