A detailed comparison of value at risk estimates

Author:

Abad Pilar,Benito Sonia

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference39 articles.

1. P. Abad, S. Benito, A detailed comparison of value at risk in international stock exchanges, FUNCAS Working Paper, 452 (2009).

2. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR;Bali;Journal of Banking and Finance,2008

3. Evaluating predictive performance of value at risk models in emerging markets: a reality check;Bao;Journal of Forecasting,2006

4. Generalised autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

5. Model selection and testing of conditional and stochastic volatility models, to appear;Caporin,2010

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