Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods With Different Volatility Levels

e-Finanse
doi 10.2478/fiqf-2018-0013
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Walter de Gruyter GmbH

Related search

Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Quantitative Finance
EconomicsEconometricsFinance
2009English

Value-At-Risk Modeling and Forecasting With Range-Based Volatility Models: Empirical Evidence

Revista Contabilidade e Financas
AccountingFinance
2017English

A Comparison of Parametric and Semi-Parametric Models for Microarray Data Analysis

International Journal of Statistics in Medical Research
2017English

Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

International Review of Economics and Finance
EconomicsFinanceEconometrics
2015English

The Application of Expectation Maximization to Manage Missing Data, Biases Value‐at‐risk and Volatility Models in Financial Time Series?

2016English

A Gaussian Semi-Parametric Implied Volatility Model

Journal of Algorithms and Computational Technology
Computational MathematicsApplied MathematicsNumerical Analysis
2017English

Uncertainty in Value-At-Risk Estimates Under Parametric and Non-Parametric Modeling

SSRN Electronic Journal
2006English

Portfolio Frontiers With Restrictions to Tracking Error Volatility and Value at Risk

Journal of Banking and Finance
EconomicsEconometricsFinance
2012English

High Volatility, Thick Tails and Extreme Value Theory in Value-At-Risk Estimation

Insurance: Mathematics and Economics
UncertaintyEconomicsStatisticsEconometricsProbability
2003English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy