Pages that link to "Item:Q4683039"
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The following pages link to Two-step methods in VaR prediction and the importance of fat tails (Q4683039):
Displaying 4 items.
- Fat tails, VaR and subadditivity (Q528149) (← links)
- How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
- GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (Q5092644) (← links)
- Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)