Pages that link to "Item:Q1039677"
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The following pages link to Value-at-risk via mixture distributions reconsidered (Q1039677):
Displaying 11 items.
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604) (← links)
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (Q2015653) (← links)
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution (Q2242773) (← links)
- Assessing the effect of kurtosis deviations from Gaussianity on conditional distributions (Q2513906) (← links)
- An approach to VaR for capital markets with Gaussian mixture (Q2572749) (← links)
- Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence (Q2697063) (← links)
- Return and Value at Risk using the Dirichlet Process (Q3523651) (← links)
- A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models (Q4687267) (← links)
