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Risk Measurement Performance of Alternative Distribution Functions

Citations

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Cited by:

  1. 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.
  2. 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).
  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. 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.
  5. 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.
  6. 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.
  7. Panayiotis Theodossiou & Christos S. Savva, 2016. "Skewness and the Relation Between Risk and Return," Management Science, INFORMS, vol. 62(6), pages 1598-1609, June.
  8. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Lorne N. Switzer & Cagdas Tahaoglu & Yun Zhao, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 1-10, November.
  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. 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.
  16. 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.
  17. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Holmberg, Ulf, 2012. "Essays on Credit Markets and Banking," Umeå Economic Studies 840, Umeå University, Department of Economics.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
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