Pages that link to "Item:Q5452737"

The following pages link to Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (Q5452737):

Displaying 21 items.

• Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
• Estimating function approach for CHARN models (Q475342) (← links)
• Nonparametric regression estimation with general parametric error covariance (Q1000563) (← links)
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory (Q1927187) (← links)
• Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
• Estimating value-at-risk and expected shortfall using the intraday low and range data (Q2272312) (← links)
• A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
• A new method for extreme value at risk measure: QRNN+POT (Q2824471) (← links)
• Estimation of tail-related value-at-risk measures: range-based extreme value approach (Q2879028) (← links)
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616) (← links)
• How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
• COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES (Q5157840) (← links)
• Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)
• On risk management problems related to a coherence property (Q5475313) (← links)
• High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression (Q5863567) (← links)
• Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” (Q5880055) (← links)
• Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (Q5880057) (← links)
• Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (Q5880059) (← links)
• Uncertainty Comparison Between Value-at-Risk and Expected Shortfall (Q6122965) (← links)