Pages that link to "Item:Q2485471"
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The following pages link to The use of GARCH models in VaR estimation (Q2485471):
Displaying 35 items.
- Term structure of risk under alternative econometric specifications (Q292020) (← links)
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
- An analysis of the flexibility of asymmetric power GARCH models (Q1010472) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Exact predictive densities for linear models with ARCH disturbances (Q1118320) (← links)
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. (Q1406485) (← links)
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) (← links)
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604) (← links)
- Specification tests for the error distribution in GARCH models (Q1927139) (← links)
- Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory (Q2137703) (← links)
- The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
- Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
- A dominance approach for comparing the performance of VaR forecasting models (Q2203429) (← links)
- A detailed comparison of value at risk estimates (Q2227451) (← links)
- Two-sided exponential-geometric distribution: inference and volatility modeling (Q2319488) (← links)
- Intradaily dynamic portfolio selection (Q2445697) (← links)
- A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
- On the empirical characteristic function process of the residuals in GARCH models and applications (Q2513933) (← links)
- A research based on POT-CAViaR model of extreme risk measure (Q2690784) (← links)
- Measurement of risk based on QR-GARCH-EVT model (Q2690785) (← links)
- How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used (Q2879030) (← links)
- Practical Issues in the Analysis of Univariate GARCH Models (Q3646951) (← links)
- Varying Coefficient GARCH Models (Q3646953) (← links)
- How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
- The generalized Gudermannian distribution: inference and volatility modelling (Q4632277) (← links)
- GARCH model selection criteria (Q4647269) (← links)
- A new generalization of skew-<i>T</i> distribution with volatility models (Q4960607) (← links)
- A new approach to Value-at-Risk: GARCH-TSLx model with inference (Q5083929) (← links)
- Kalman filter-based modelling and forecasting of stochastic volatility with threshold (Q5130165) (← links)
- Scaling laws: a viable alternative to value at risk? (Q5245356) (← links)
- GARCH Model Estimation Using Estimated Quadratic Variation (Q5863577) (← links)
- Value-at-risk estimation with new skew extension of generalized normal distribution (Q5866105) (← links)
- Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (Q5881685) (← links)
- A corrected Clarke test for model selection and beyond (Q6163272) (← links)
- Portfolio optimization based on artificial neural network and GARCH-EVT-copula models (Q6535937) (← links)
