SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Unbiased Estimation of Risk
16 references·0 citing·39 second hop
Unbiased Estimation of Risk (2016)Unbiased Estimation of RiskElicitability and backtesting: Perspectives for banking regulation (2017)Elicitability and backtesting…What is the best risk measure in practice? A comparison of standard measures (2015)What is the best risk measure…COHERENCE AND ELICITABILITY (2014)COHERENCE AND ELICITABILITYExternal Risk Measures and Basel Accords (2013)External Risk Measures and Ba…Stochastic Finance (2011)Stochastic FinanceMaking and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Robustness and sensitivity analysis of risk measurement procedures (2010)Robustness and sensitivity an…Lévy Processes and Stochastic Calculus (2009)Lévy Processes and Stochastic…On convex risk measures on L p -spaces (2008)On convex risk measures on L …DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)DISTRIBUTION‐INVARIANT RISK M…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Empirical analysis of GARCH models in value at risk estimation (2005)Empirical analysis of GARCH m…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…Value‐at‐risk for long and short trading positions (2003)Value‐at‐risk for long and sh…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyAn Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Generalized quantiles as risk measures (2013)An Academic Response to Basel 3.5 (2014)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)CAViaR (2004)Measuring Market Risk (2005)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Stock Liquidity and Stock Price Crash Risk (2017)An Introduction to Statistical Modeling of Extreme Values (2001)Optimal reinsurance under VaR and CTE risk measures (2008)Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis (2013)The use of GARCH models in VaR estimation (2004)A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)The hidden dangers of historical simulation (2005)The Econometrics of Financial Markets (2012)Conditional value-at-risk for general loss distributions (2002)Convex measures of risk and trading constraints (2002)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise (2009)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)Risk management with expectiles (2015)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Applications of deep learning in stock market prediction: Recent progress (2021)Machine learning in the Chinese stock market (2021)
this work references cited by second hop

References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2009Lévy Processes and Stochastic Calculus1,442 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2011Stochastic Finance424 cited
  • 2003Value‐at‐risk for long and short trading positions373 cited
  • 2010Robustness and sensitivity analysis of risk measurement procedures372 cited
  • 2014COHERENCE AND ELICITABILITY357 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
  • 2015What is the best risk measure in practice? A comparison of standard measures252 cited
  • 2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY227 cited
  • 2017Elicitability and backtesting: Perspectives for banking regulation204 cited
  • 2013External Risk Measures and Basel Accords166 cited
  • 2005Empirical analysis of GARCH models in value at risk estimation163 cited
  • 2008On convex risk measures on L p -spaces

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

150 cited

Cited by

No citing works inside the corpus for this window.