VaR modelling on long run horizons

DOI10.1023/A:1024782117906zbMATH Open1115.91345MaRDI QIDQ2487620FDOQ2487620

Authors: Kostas Giannopoulos 

Publication date: 8 August 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Recommendations

• Value–at–Risk Models
• scientific article; zbMATH DE number 2177302
• A REMARK CONCERNING VALUE-AT-RISK
• MaxVaR with non-Gaussian distributed returns
• Publication:4955690

Mathematics Subject Classification ID

Cited In (13)

• LONG-RUN STRUCTURAL MODELLING
• Alternative modeling for long term risk
• Quermaßintegrals and asymptotic shape of random polytopes in an isotropic convex body
• Artifactual unit root behavior of value at risk (VaR)
• Estimation of VAR models: computational aspects
• Value–at–Risk Models
• Computational Science - ICCS 2004
• Non-parametric inference on risk measures for integrated returns
• Long run recursive VAR models and QR decompositions.
• MaxVaR with non-Gaussian distributed returns
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• The negative association property for the absolute values of random variables equidistributed on a generalized Orlicz ball
• On a general class of long run variance estimators

This page was built for publication: VaR modelling on long run horizons

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2487620)