Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
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- Sasa Zikovic & Randall Filer, 2012. "Ranking of VaR and ES Models: Performance in Developed and Emerging Markets," CESifo Working Paper Series 3980, CESifo Group Munich.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
- Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic, 2014. "Evaluating the performance of VaR models in energy markets," HSC Research Reports HSC/14/12, Hugo Steinhaus Center, Wroclaw University of Technology.
More about this item
Keywordsranking; Value at Risk; Expected shortfall; extreme value theory;
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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