Value-at-Risk Prediction: A Comparison of Alternative Strategies
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(27)- Accurate value-at-risk forecasting based on the normal-GARCH model
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- Multivariate time-varying G-H copula GARCH model and its application in the financial market risk measurement
- Adjusted extreme conditional quantile autoregression with application to risk measurement
- High frequency-based quantile forecast and combination: an application to oil market
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
- Systemic risk measurement: bucketing global systemically important banks
- Skewed Kotz distribution with application to financial stock returns
- Verification of internal risk measure estimates
- Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models
- A comparison of several time-series models for assessing the value at risk of shares
- A decision rule to minimize daily capital charges in forecasting value-at-risk
- Improving the value at risk forecasts: theory and evidence from the financial crisis
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- A Bayesian encompassing test using combined value-at-risk estimates
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Two-step methods in VaR prediction and the importance of fat tails
- Improving Hull and White's method of estimating portfolio value-at-risk
- Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance
- Distributional Uncertainty of the Financial Time Series Measured by G-Expectation
- Comparing the small-sample estimation error of conceptually different risk measures
- Extreme downside risk and market turbulence
- Backtesting extreme value theory models of expected shortfall
- An ARMA-GARCH model and its application for ACCNAV prediction
- Where does the tail begin? An approach based on scoring rules
- Model averaging for semiparametric varying coefficient quantile regression models
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