SZodixStudyAcademic Library

Shelves Open access

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

Conditional VaR estimation using Pearson’s type IV distribution · Study

ArticleShelves

ArticleConditional VaR estimation using Pearson’s type IV distribution

Malay Bhattacharyya2007

Article2007

Conditional VaR estimation using Pearson’s type IV distribution

Malay Bhattacharyya · Gaurav Kumar Yadav

39 citations·0/0 files stored·European Journal of Operational Research

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 Stochastic processes and financial applications Risk and Portfolio Optimization

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 — 39 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2016“Options, Futures, and Other Derivatives”1992ARCH modeling in finance 2003Options, Futures and Other Derivatives 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1994Autoregressive Conditional Density Estimation 2003Forecasting Volatility in Financial Markets: A Review

Cited by

2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions 2012Econometric modeling and value-at-risk using the Pearson type-IV distribution 2013A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation 2014A New Pearson-Type QMLE for Conditionally Heteroscedastic Models

Related works

Explore the map →

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

2013A comprehensive review of Value at Risk methodologiesarticle · 9 shared references 2008Glossary to ARCH (GARCH)preprint · 9 shared references 2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaRarticle · 8 shared references 2011Financial Economics, Fat-Tailed Distributionsother · 8 shared references 2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality checkarticle · 7 shared references 2006Normal mixture GARCH(1,1): applications to exchange rate modellingarticle · 7 shared references

Details

Year2007

Typearticle

Published2007-07-25

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations39

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.ejor.2007.07.021

openalex_workW2052817541

Links

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