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Results for Value-at-Risk
Publications & Outputs
Backtesting VaR and ES under the magnifying glass
Argyropoulos, C.
&
Panopoulou, E.
,
1/07/2019
,
In:
International Review of Financial Analysis.
64
,
p. 22-37
16 p.
Research output
:
Contribution to Journal/Magazine
›
Journal article
›
peer-review
Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets
Haerdle, W.
,
Lee Kuo Chuen, D.
,
Nasekin, S.
&
Petukhina, A.
,
1/01/2018
,
In:
Journal of Asset Management.
19
,
1
,
p. 49-63
15 p.
Research output
:
Contribution to Journal/Magazine
›
Journal article
›
peer-review
Regular variation and extremal dependence of GARCH residuals with application to market risk measures
Laurini, F.
&
Tawn, J. A.
,
31/01/2009
,
In:
Econometric Reviews.
28
,
1-3
,
p. 146-169
24 p.
Research output
:
Contribution to Journal/Magazine
›
Journal article
›
peer-review