IDEAS home Printed from https://ideas.repec.org/r/bla/jrinsu/v75y2008i2p411-437.html
   My bibliography  Save this item

Risk Measurement Performance of Alternative Distribution Functions

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Karmakar, Madhusudan, 2013. "Estimation of tail-related risk measures in the Indian stock market: An extreme value approach," Review of Financial Economics, Elsevier, vol. 22(3), pages 79-85.
  2. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
  3. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
  4. Shi, Peng & Frees, Edward W., 2010. "Long-tail longitudinal modeling of insurance company expenses," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 303-314, December.
  5. James Hansen & James McDonald & Panayiotis Theodossiou & Brad Larsen, 2010. "Partially Adaptive Econometric Methods For Regression and Classification," Computational Economics, Springer;Society for Computational Economics, vol. 36(2), pages 153-169, August.
  6. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
  7. Madhusudan Karmakar, 2013. "Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 79-85, September.
  8. Carole Toque & Virginie Terraza, 2014. "Histogram-valued data on value at risk measures: a symbolic approach for risk attribution," Applied Economics Letters, Taylor & Francis Journals, vol. 21(17), pages 1243-1251, November.
  9. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
  10. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR).
  11. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
  12. Panayiotis Theodossiou & Christos S. Savva, 2016. "Skewness and the Relation Between Risk and Return," Management Science, INFORMS, vol. 62(6), pages 1598-1609, June.
  13. Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2011. "Value at Risk and Expected Shortfall for large portfolios," Finance Research Letters, Elsevier, vol. 8(2), pages 59-68, June.
  14. Calluzzo, Paul & Dong, Gang Nathan, 2015. "Has the financial system become safer after the crisis? The changing nature of financial institution risk," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 233-248.
  15. Li, Yunxian & Tang, Niansheng & Jiang, Xuejun, 2016. "Bayesian approaches for analyzing earthquake catastrophic risk," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 110-119.
  16. Switzer, Lorne N. & Tahaoglu, Cagdas & Zhao, Yun, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, Elsevier, vol. 35(C), pages 1-10.
  17. Ibrahim Ergen, 2015. "Two-step methods in VaR prediction and the importance of fat tails," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1013-1030, June.
  18. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
  19. Turan G. Bali & Stephen J. Brown & K. Ozgur Demirtas, 2013. "Do Hedge Funds Outperform Stocks and Bonds?," Management Science, INFORMS, vol. 59(8), pages 1887-1903, August.
  20. Emilio Cardona & Andrés Mora-Valencia & Daniel Velásquez-Gaviria, 2019. "Testing expected shortfall: an application to emerging market stock indices," Risk Management, Palgrave Macmillan, vol. 21(3), pages 153-182, September.
  21. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.
  22. Marie-Anne Cam & Vikash Ramiah, 2014. "The influence of systematic risk factors and econometric adjustments in catastrophic event studies," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 171-189, February.
  23. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
  24. Pilar Abad Romero & Sonia Benito Muela & Miguel Angel Sánchez Granero & Carmen López, 2013. "Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  25. Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
  26. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
  27. Holmberg, Ulf, 2012. "Essays on Credit Markets and Banking," Umeå Economic Studies 840, Umeå University, Department of Economics.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.