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Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling · Study

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ArticleUncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

Wolfgang Aussenegg2006

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Articlegreen2006

Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

Wolfgang Aussenegg · Tatiana Miazhynskaia

24 citations·0/0 files stored·Financial markets and portfolio management

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1997An Overview of Value at Risk 2001Value at Risk 2005Measuring Market Risk

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2008Enterprise risk management in financial groups: analysis of risk concentration and default risk 2009Pricing volatility of stock returns with volatile and persistent components

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Year2006

Typearticle

Published2006-07-05

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11408-006-0020-8

openalex_workW3123373994

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