Pages that link to "Item:Q4979882"
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The following pages link to VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882):
Displaying 14 items.
- Statistical estimation errors of VaR under ARCH returns (Q947259) (← links)
- A generalised stochastic volatility in mean VAR (Q1626966) (← links)
- Monte Carlo calibration to implied volatility surface under volatility models (Q1684770) (← links)
- Estimation of VAR models: computational aspects (Q1812107) (← links)
- Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
- CVA in fractional and rough volatility models (Q2700343) (← links)
- Stochastic quasi-gradient techniques in VaR-based ALM models (Q2740085) (← links)
- Comparing VaR Approximation Methods that Use the First Four Moments as Inputs (Q2809621) (← links)
- (Q3307800) (← links)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
- Variance reduction approach for the volatility over a finite-time horizon (Q5079915) (← links)
- (Q5324635) (← links)
- Pathwise CVA regressions with oversimulated defaults (Q6078661) (← links)
- Comparing stochastic volatility specifications for large Bayesian VARs (Q6108307) (← links)
