SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets · Study

PreprintShelves

PreprintHybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Saša Žiković2009

OA

Preprintgreen2009

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Saša Žiković · Randall K. Filer

51 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 51 citations exist upstream.

References

1999Coherent Measures of Risk 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory 2005Measuring Market Risk 1999Extreme Value Theory as a Risk Management Tool 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets 1998Incorporating volatility updating into the historical simulation method for value-at-risk 1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

Cited by

2014There's No Place Like Home: The Profitability Gap between Headquarters and their Foreign Subsidiaries 2010MARKET ACCESS THROUGH BOUND TARIFFS 2009A Touch of Sophistication: FDI and Unit Values of Exports 2010A Mixed Splicing Procedure for Economic Time Series 2009The Relationship between Stature and Insolation: Evidence from Soldiers and Prisoners

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Social Security Incidence under Uncertainty Assessing Italian Reformspreprint · 9 shared references 2009The Gender Imbalance in Participation in Canadian Universities (1977-2005)preprint · 8 shared references 2010The role of the corporate income tax as an automatic stabilizerarticle · 8 shared references 2011Sprawl and Blightpreprint · 8 shared references 2016Frontiers in VaR forecasting and backtestingarticle · 7 shared references 2006Empirical study of value‐at‐risk and expected shortfall models with heavy tailsarticle · 7 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.1491418

openalex_workW1853856539

Links

Imported from OpenAlex (CC0) — nothing here is generated.