scholarly journals High-dimensional GARCH process segmentation with an application to Value-at-Risk

2021 ◽  
Author(s):  
Haeran Cho ◽  
Karolos K. Korkas
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
High Dimensional ◽  
Garch Process

Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model

2017 ◽  
Vol 67 ◽  
pp. 355-367 ◽  
Author(s):  
Heng-Guo Zhang ◽  
Chi-Wei Su ◽  
Yan Song ◽  
Shuqi Qiu ◽  
Ran Xiao ◽  
...  
Keyword(s):  
At Risk ◽  
Time Series ◽  
Value At Risk ◽  
High Dimensional ◽  
Mapping Model ◽  
Random Mapping

An Online Sequential Learning Non-parametric Value-at-Risk Model for High-Dimensional Time Series

2017 ◽  
Vol 10 (2) ◽  
pp. 187-200 ◽  
Author(s):  
Heng-Guo Zhang ◽  
Libo Wu ◽  
Yan Song ◽  
Chi-Wei Su ◽  
Qingping Wang ◽  
...  
Keyword(s):  
At Risk ◽  
Time Series ◽  
Value At Risk ◽  
Risk Model ◽  
Sequential Learning ◽  
High Dimensional ◽  
Online Sequential Learning ◽  
Non Parametric

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

Value at Risk

2007 ◽  
Author(s):  
Arndt P. Funken ◽  
Alexander Obeid
Keyword(s):  
At Risk ◽  
Value At Risk
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