Pages that link to "Item:Q2909514"
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The following pages link to Multivariate heavy-tailed models for value-at-risk estimation (Q2909514):
Displaying 12 items.
- Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data (Q1424662) (← links)
- Multifractal value at risk model (Q1619380) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- Extremal forex returns in extremely large data sets (Q1848525) (← links)
- Vector-valued multivariate conditional value-at-risk (Q2417154) (← links)
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach (Q2512745) (← links)
- Efficient simulation of value at risk with heavy-tailed risk factors (Q2893913) (← links)
- Incorporating higher moments into value-at-risk forecasting (Q3065537) (← links)
- A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models (Q4687267) (← links)
- Estimating the tail conditional expectation of Walmart stock data (Q5147650) (← links)
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK (Q5213447) (← links)
- A calibrated scenario generation model for heavy-tailed risk factors (Q5427773) (← links)
