Publication:5388117
From MaRDI portal
zbMath1235.91001MaRDI QIDQ5388117
Publication date: 18 April 2012
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
Related Items
How does the choice of Value-at-Risk estimator influence asset allocation decisions?, Real-time monitoring of carbon monoxide using value-at-risk measure and control charting, Properties and estimation of asymmetric exponential power distribution, Term structure of risk under alternative econometric specifications, Improving the value at risk forecasts: theory and evidence from the financial crisis, A multidimensional scaling analysis of musical sounds based on pseudo phase plane, Efficient option risk measurement with reduced model risk, Longevity bond premiums: the extreme value approach and risk cubic pricing, Accurate value-at-risk forecasting based on the normal-GARCH model, Value-at-risk via mixture distributions reconsidered, Empirical likelihood-based evaluations of value at risk models, Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models, Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations, Virtual historical simulation for estimating the conditional VaR of large portfolios, Portfolio optimization when risk factors are conditionally varying and heavy tailed
