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Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques

Citations

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Cited by:

  1. Natalia Khorunzhina & Jean-François Richard, 2019. "Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 991-1017, March.
  2. Kóbor, Ádám, 2000. "A feltétel nélküli normalitás egyszerű alternatívái a kockáztatott érték számításában [The simple alternatives of unconditional normality in the calculation of value at risk]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 878-898.
  3. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
  4. Wentao Hu, 2019. "calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty," Papers 1908.00982, arXiv.org.
  5. Cotter, John, 2001. "Margin exceedences for European stock index futures using extreme value theory," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1475-1502, August.
  6. Judy Hsu & Kuo-An Li, 2013. "Performance assessments of Taiwan’s financial holding companies," Journal of Productivity Analysis, Springer, vol. 40(1), pages 137-151, August.
  7. Pertaia Giorgi & Uryasev Stan, 2019. "Fitting heavy-tailed mixture models with CVaR constraints," Dependence Modeling, De Gruyter, vol. 7(1), pages 365-374, January.
  8. Alex YiHou Huang, 2010. "An optimization process in Value‐at‐Risk estimation," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 109-116, August.
  9. Hailiang Yang, 2000. "An Integrated Risk Management Method: VaR Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 201-219, September.
  10. Meade, Nigel, 2010. "Oil prices -- Brownian motion or mean reversion? A study using a one year ahead density forecast criterion," Energy Economics, Elsevier, vol. 32(6), pages 1485-1498, November.
  11. Jianxin Ge & Hongjia Xu & Massimiliano M. Pellegrini, 2019. "The Effect of Value Co-Creation on Social Enterprise Growth: Moderating Mechanism of Environment Dynamics," Sustainability, MDPI, vol. 11(1), pages 1-20, January.
  12. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
  13. Mark R. Manfredo & Raymond M. Leuthold, 1998. "Agricultural Applications of Value-at-Risk Analysis: A Perspective," Finance 9805002, University Library of Munich, Germany.
  14. Lola Redondo-Rodríguez & Diana C. Pérez-Bustamante Yábar & Eloísa Díaz-Garrido, 2023. "Impact of technological innovation on digital entrepreneurship and the effects on the economy," International Entrepreneurship and Management Journal, Springer, vol. 19(3), pages 1501-1526, September.
  15. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
  16. Douglas Cumming & Lars Helge Haß & Denis Schweizer, 2014. "Strategic Asset Allocation and the Role of Alternative Investments," European Financial Management, European Financial Management Association, vol. 20(3), pages 521-547, June.
  17. Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
  18. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2015. "Is volatility clustering of asset returns asymmetric?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 62-76.
  19. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 161-184, June.
  20. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 707-716.
  21. Jin Wang & Michael R. Taaffe, 2015. "Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes," INFORMS Journal on Computing, INFORMS, vol. 27(2), pages 193-203, May.
  22. Marco Bee, 2007. "The asymptotic loss distribution in a fat-tailed factor model of portfolio credit risk," Department of Economics Working Papers 0701, Department of Economics, University of Trento, Italia.
  23. Yinan Li & Kai-Tai Fang & Ping He & Heng Peng, 2022. "Representative Points from a Mixture of Two Normal Distributions," Mathematics, MDPI, vol. 10(21), pages 1-28, October.
  24. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
  25. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
  26. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
  27. Kalantaridis, Christos & Küttim, Merle, 2023. "Multi-dimensional time and university technology commercialisation as opportunity praxis: A realist synthesis of the accumulated literature," Technovation, Elsevier, vol. 122(C).
  28. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
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