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Title: A robust closed-form estimator for the GARCH(1,1) modelAuthor: Bahamonde, N. / Veiga, H.Language: InglésRepository: 73
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Title: Implied volatility: can we improve VAR models?Author: Krecmer, VladimirLanguage: InglésRepository: 73
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Title: Saddle-point approach: backtesting VaR models in the presence of extreme lossesAuthor: Gouveia, Ricardo João da SilvaLanguage: InglésRepository: 73
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Title: Backtesting var models: an application to Caixa Geral de DepóstitosAuthor: Ruivo, Raquel Costa CarvalhoLanguage: InglésRepository: 73
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Title: Risk quantification for commodity ETFs: Backtesting value-atrisk and expected shortfallAuthor: Del Brio, E. / Mora, A. / Perote, J.Language: InglésRepository: 21Subject: Value-at-risk / Expected shortfall / Backtesting / Gram-Charlier expansion
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