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Improving Accuracy and Precision of Value-at-Risk Forecasts
SSRN Electronic Journal
◽
10.2139/ssrn.1009512
◽
2007
◽
Author(s):
Yihui Lan
◽
Ze Hu
◽
Jackie Johnson
Keyword(s):
At Risk
◽
Value At Risk
◽
Accuracy And Precision
◽
Improving Accuracy
Download Full-text
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References
Extremwerttheorie und Value-at-Risk
WiSt - Wirtschaftswissenschaftliches Studium
◽
10.15358/0340-1650-2015-5-259
◽
2015
◽
Vol 44
(5)
◽
pp. 259-267
Author(s):
Frank Schuhmacher
◽
Benjamin R. Auer
Keyword(s):
At Risk
◽
Value At Risk
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Value at Risk
Controlling
◽
10.15358/0935-0381-2004-7-425
◽
2004
◽
Vol 16
(7)
◽
pp. 425-426
Author(s):
Mischa Seiter
◽
Sven Eckert
Keyword(s):
At Risk
◽
Value At Risk
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How IXIS CIB Applies Value-At-Risk Calculation to Real Estate Investments
10.15396/eres2005_189
◽
2005
◽
Keyword(s):
At Risk
◽
Real Estate
◽
Value At Risk
◽
Risk Calculation
◽
Real Estate Investments
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Stress Testing in a Value at Risk Framework
CFA Digest
◽
10.2469/dig.v29.n2.483
◽
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
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Value at Risk
Stiftung&Sponsoring
◽
10.37307/j.2366-2913.2007.03.19
◽
2007
◽
Author(s):
Arndt P. Funken
◽
Alexander Obeid
Keyword(s):
At Risk
◽
Value At Risk
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Capturing value-at-risk in futures markets: a revised filtered historical simulation approach
The Journal of Risk Model Validation
◽
10.21314/jrmv.2012.095
◽
2012
◽
Vol 6
(4)
◽
pp. 67-93
Author(s):
Chang-Cheng Changchien
◽
Chu-Hsiung Lin
◽
Wei-Shun Kao
Keyword(s):
At Risk
◽
Value At Risk
◽
Futures Markets
◽
Simulation Approach
◽
Historical Simulation
Download Full-text
Central bank vulnerability and the credibility of its commitments: a value-at-risk approach
The Journal of Risk
◽
10.21314/jor.1999.017
◽
1999
◽
Vol 2
(1)
◽
pp. 37-55
◽
Cited By ~ 8
Author(s):
Mario Blejer
◽
Liliana Schumacher
Keyword(s):
At Risk
◽
Central Bank
◽
Value At Risk
◽
A Value
◽
Risk Approach
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Estimation risk for value-at-risk and expected shortfall
The Journal of Risk
◽
10.21314/jor.2018.376
◽
2018
◽
Author(s):
Paul Kabaila
◽
Rheanna Mainzer
Keyword(s):
At Risk
◽
Value At Risk
◽
Expected Shortfall
◽
Estimation Risk
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Value-at-risk analysis for energy commodities: long-range dependencies and fat-tails in return innovations
The Journal of Energy Markets
◽
10.21314/jem.2008.004
◽
2008
◽
Vol 1
(1)
◽
pp. 31-63
◽
Cited By ~ 7
Author(s):
Chaker Aloui
Keyword(s):
At Risk
◽
Risk Analysis
◽
Long Range
◽
Value At Risk
◽
Fat Tails
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Statistical benefits of value-at-risk with long memory
The Journal of Risk
◽
10.21314/jor.2005.119
◽
2005
◽
Vol 7
(4)
◽
pp. 21-45
◽
Cited By ~ 18
Author(s):
Andrea Beltratti
◽
Claudio Morana
Keyword(s):
At Risk
◽
Long Memory
◽
Value At Risk
Download Full-text
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