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73 (2)

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Gouveia, Ricardo João da Silva (1)
Krecmer, Vladimir (1)

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Backtesting (2)
C Mathematical and quantitative methods (2)
Domínio/Área Científica::Ciências Sociais::Economia e Gestão (2)
G Financial economics (2)
Value-at-risk (2)
Análise de mercado (1)
C32 (1)
C58 (1)
Cooperação económica (1)
G17 (1)

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Repository: 73 Subject: Backtesting Language: Inglés Year: 2018

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Title: Implied volatility: can we improve VAR models?
Author: Krecmer, Vladimir
Language: Inglés
Repository: 73
Subject: Implied volatility / Stocks / Value-at-risk / Backtesting / Análise de mercado / Cooperação económica / Metodologia VAR -- Vectores autoregressivos / Domínio/Área Científica::Ciências Sociais::Economia e Gestão / C32 / G17 / C Mathematical and quantitative methods / G Financial economics

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Title: Saddle-point approach: backtesting VaR models in the presence of extreme losses
Author: Gouveia, Ricardo João da Silva
Language: Inglés
Repository: 73
Subject: Backtesting / Value-at-risk / Time series / Risk management / Gestão do risco / Modelos de risco / Séries temporais / Domínio/Área Científica::Ciências Sociais::Economia e Gestão / C58 / G32 / C Mathematical and quantitative methods / G Financial economics

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