Frontiers in VaR forecasting and backtesting
Author:
Funder
Spanish Government
Publisher
Elsevier BV
Subject
Business and International Management
Reference227 articles.
1. Expected shortfall: a natural coherent alternative to value at risk;Acerbi;Economic Notes,2002
2. A robust VaR model under different time periods and weighting schemes;Angelidis;Review of Quantitative Finance and Accounting,2007
3. Backtesting VaR models: a two-stage procedure;Angelidis;Journal of Risk Model Validation,2007
4. GARCH models for daily stock returns: Impact of estimation frequency on value-at-risk and expected shortfall forecasts;Ardia;Economics Letters,2014
5. Smoothing methods for histogram-valued time series. An application to value-at-risk;Arroyo;Statistical Analysis and Data Mining,2011
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