Bias of a Value-at-Risk estimator
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Cited by:
- Carl Lonnbark, 2010. "A corrected Value-at-Risk predictor," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1193-1196.
- Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014.
"Risk models-at-risk,"
Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
- Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk Model-at-Risk," Post-Print hal-01386003, HAL.
- Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
- Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models–at–risk," LSE Research Online Documents on Economics 59299, London School of Economics and Political Science, LSE Library.
- Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-01243413, HAL.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
- Gourieroux, Christian & Zakoïan, Jean-Michel, 2013.
"Estimation-Adjusted Var,"
Econometric Theory, Cambridge University Press, vol. 29(4), pages 735-770, August.
- Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Center for Research in Economics and Statistics.
- Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
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