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Model choice and value-at-risk estimation

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  • Zisheng Ouyang

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  • Zisheng Ouyang, 2009. "Model choice and value-at-risk estimation," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 983-991, November.
    • Handle: RePEc:spr:qualqt:v:43:y:2009:i:6:p:983-991
    DOI: 10.1007/s11135-007-9157-4
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    References listed on IDEAS

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    1. Turan G. Bali, 2003. "An Extreme Value Approach to Estimating Volatility and Value at Risk," The Journal of Business, University of Chicago Press, vol. 76(1), pages 83-108, January.
    2. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:

    1. Jin-Ray Lu & Chiang-Chang Hwang & Yi-Chun Chen & Chu-Ting Wen, 2013. "Including More Information Content to Enhance the Value at Risk Estimation for Real Estate Investment Trusts," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(3), pages 25-34, July.
    2. Imed Gammoudi & Lotfi BelKacem & Mohamed El Ghourabi, 2014. "Value at Risk Estimation for Heavy Tailed Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(3), pages 109-125.

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