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Estimation Methods for Value at Risk

  • Published:2016-10-07 Issue: Volume: Page:283-356
  • ISSN:
  • Container-title:Extreme Events in Finance
  • language:
  • Short-container-title:

Author:

Nadarajah Saralees1,Chan Stephen1

Affiliation:

1. School of Mathematics, University of Manchester; Manchester, M13 9PL UK

Publisher

John Wiley & Sons, Inc.

Reference184 articles.

1. Peaks over random threshold methodology for tail index and quantile estimation;Araújo Santos,;Revstat,2006

2. Bivariate value-at-risk;Arbia,;Statistica,2002

3. Financial Risk Management with Bayesian Estimation of GARCH Models

4. Arneric, J. Jurun, E. Pivac, S. Parametric forecasting of value at risk using heavy tailed distribution 2008 65 75

5. Large-sample confidence intervals for risk measures of location-scale families;Bae,;Journal of Statistical Planning and Inference,2012

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1. Improving Value-at-Risk Prediction Under Model Uncertainty;Journal of Financial Econometrics;2020-07-06

2. Truncated skewed type III generalized logistic distribution: risk measurement applications;Communications in Statistics - Theory and Methods;2020-05-15

3. Portfolio optimization based on modified expected shortfall;Studies in Economics and Finance;2019-07-26

4. Comparing the Estimations of Value-at-Risk Using Artificial Network and Other Methods for Business Sectors;Proceedings of the International Neural Networks Society;2019-04-03

5. Extreme value analysis of high‐frequency cryptocurrencies;High Frequency;2019-02
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