FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2066301449> ?p ?o ?g. }

• W2066301449 abstract "This paper employs a new approach due to Engle and Manganelli (2004) in order to examine market risk in several major equity markets, as well as for major companies listed in New York Stock Exchange and Athens Stock Exchange. By interpreting the VaR as the quantile of future portfolio values conditional on current information, Engle and Manganelli (2004) propose a new approach to quantile estimation that does not require any of the extreme assumptions of the existing methodologies, mainly normality and i.i.d. returns. The CAViaR model shifts the focus of attention from the distribution of returns directly to the behaviour of the quantile. We provide a comparative evaluation of the predictive performance of four alternative CAViaR specifications, namely Adaptive, Symmetric Absolute Value, Asymmetric Slope and Indirect GARCH(1,1) models. The main findings of the present analysis is that we are able to confirm some stylized facts of financial data such as volatility clustering while the Dynamic Quantile criterion selects different models for different confidence intervals for the case of the five general indices, the US companies and the Greek companies respectively." @default.
• W2066301449 created "2016-06-24" @default.
• W2066301449 creator A5038238177 @default.
• W2066301449 creator A5083632967 @default.
• W2066301449 date "2005-11-01" @default.
• W2066301449 modified "2023-09-27" @default.
• W2066301449 title "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets" @default.
• W2066301449 cites W12931115 @default.
• W2066301449 cites W1497436332 @default.
• W2066301449 cites W1508684584 @default.
• W2066301449 cites W1514855489 @default.
• W2066301449 cites W1556289036 @default.
• W2066301449 cites W1858495123 @default.
• W2066301449 cites W1960367365 @default.
• W2066301449 cites W1966158196 @default.
• W2066301449 cites W1972520398 @default.
• W2066301449 cites W1974547200 @default.
• W2066301449 cites W1977970167 @default.
• W2066301449 cites W1984570338 @default.
• W2066301449 cites W1984584489 @default.
• W2066301449 cites W1986134211 @default.
• W2066301449 cites W1996800283 @default.
• W2066301449 cites W2003941523 @default.
• W2066301449 cites W2012562345 @default.
• W2066301449 cites W2014524653 @default.
• W2066301449 cites W2019291268 @default.
• W2066301449 cites W2029067008 @default.
• W2066301449 cites W2054599015 @default.
• W2066301449 cites W2059053591 @default.
• W2066301449 cites W2061960194 @default.
• W2066301449 cites W2076209196 @default.
• W2066301449 cites W2083103277 @default.
• W2066301449 cites W2086041263 @default.
• W2066301449 cites W2090637028 @default.
• W2066301449 cites W2094006360 @default.
• W2066301449 cites W2095102090 @default.
• W2066301449 cites W2099208941 @default.
• W2066301449 cites W2104556565 @default.
• W2066301449 cites W2108818539 @default.
• W2066301449 cites W2135177937 @default.
• W2066301449 cites W2139255721 @default.
• W2066301449 cites W2148554492 @default.
• W2066301449 cites W2150747312 @default.
• W2066301449 cites W2152278349 @default.
• W2066301449 cites W2154756406 @default.
• W2066301449 cites W2162659824 @default.
• W2066301449 cites W2169142669 @default.
• W2066301449 cites W2170206178 @default.
• W2066301449 cites W2798750840 @default.
• W2066301449 cites W3022041122 @default.
• W2066301449 cites W3121777630 @default.
• W2066301449 cites W3122265940 @default.
• W2066301449 cites W3124100928 @default.
• W2066301449 cites W3124178151 @default.
• W2066301449 cites W3126005367 @default.
• W2066301449 cites W92003387 @default.
• W2066301449 hasPublicationYear "2005" @default.
• W2066301449 type Work @default.
• W2066301449 sameAs 2066301449 @default.
• W2066301449 citedByCount "3" @default.
• W2066301449 countsByYear W20663014492013 @default.
• W2066301449 crossrefType "posted-content" @default.
• W2066301449 hasAuthorship W2066301449A5038238177 @default.
• W2066301449 hasAuthorship W2066301449A5083632967 @default.
• W2066301449 hasConcept C10138342 @default.
• W2066301449 hasConcept C106159729 @default.
• W2066301449 hasConcept C118671147 @default.
• W2066301449 hasConcept C139719470 @default.
• W2066301449 hasConcept C149782125 @default.
• W2066301449 hasConcept C162324750 @default.
• W2066301449 hasConcept C166957645 @default.
• W2066301449 hasConcept C200870193 @default.
• W2066301449 hasConcept C204036174 @default.
• W2066301449 hasConcept C205649164 @default.
• W2066301449 hasConcept C23922673 @default.
• W2066301449 hasConcept C2776142675 @default.
• W2066301449 hasConcept C2780821815 @default.
• W2066301449 hasConcept C32896092 @default.
• W2066301449 hasConcept C38935604 @default.
• W2066301449 hasConcept C63817138 @default.
• W2066301449 hasConcept C91602232 @default.
• W2066301449 hasConcept C94128290 @default.
• W2066301449 hasConceptScore W2066301449C10138342 @default.
• W2066301449 hasConceptScore W2066301449C106159729 @default.
• W2066301449 hasConceptScore W2066301449C118671147 @default.
• W2066301449 hasConceptScore W2066301449C139719470 @default.
• W2066301449 hasConceptScore W2066301449C149782125 @default.
• W2066301449 hasConceptScore W2066301449C162324750 @default.
• W2066301449 hasConceptScore W2066301449C166957645 @default.
• W2066301449 hasConceptScore W2066301449C200870193 @default.
• W2066301449 hasConceptScore W2066301449C204036174 @default.
• W2066301449 hasConceptScore W2066301449C205649164 @default.
• W2066301449 hasConceptScore W2066301449C23922673 @default.
• W2066301449 hasConceptScore W2066301449C2776142675 @default.
• W2066301449 hasConceptScore W2066301449C2780821815 @default.
• W2066301449 hasConceptScore W2066301449C32896092 @default.
• W2066301449 hasConceptScore W2066301449C38935604 @default.
• W2066301449 hasConceptScore W2066301449C63817138 @default.
• W2066301449 hasConceptScore W2066301449C91602232 @default.
• W2066301449 hasConceptScore W2066301449C94128290 @default.

• next