𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Backtesting Value-at-Risk: Case Study on the Romanian Capital Market

✍ Scribed by Iorgulescu, Filip


Book ID
119361145
Publisher
Elsevier
Year
2012
Tongue
English
Weight
361 KB
Volume
62
Category
Article
ISSN
1877-0428

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Revolutionizing the workplace: A case st
✍ Shilpa Khanna; J. Randolph New πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 252 KB

## Abstract Today's workplace designs are being revolutionized due to the changing nature of work and worker profiles, the impact of technology, and the need for organizational efficiency and flexibility. Our case study of the Future of Work (FOW) program at Capital One highlights how thoughtful se

The impact of stationarity assessment on
✍ J. LeΕ›kow πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 773 KB

## Recent research on volatility of asset returns demonstrates that model innovations frequently show unconditional heteroscedasticity. On the other hand, ARMA-GARCH models incorporate the heteroscedasticity only in the conditional distribution of the innovations, assuming the unconditional distr

A Study of Value-at-Risk Based on M-Esti
✍ Farhat Iqbal; Kanchan Mukherjee πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 119 KB πŸ‘ 2 views

## ABSTRACT In this paper, we investigate the performance of a class of M‐estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of value‐at‐risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and B‐estimator, as well