Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122264705> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W3122264705 endingPage "110" @default.
- W3122264705 startingPage "79" @default.
- W3122264705 abstract "We compare the value-at-risk (VaR) bounds obtained from several models fitted to simulated long memory conditional variance processes. We show that most VaR comparison tests and loss functions may lead to the choice of a misspecified model that produces incorrect risk conditional coverage. The only exception is the test proposed by Christoffersen et al (2001). However, with an opportunity cost loss function, we show that most models satisfy the Basel accord requirements and that the cost of selecting a misspecified model is limited. Therefore, simple models are harmless approximations for the computation of the VaR, both under the users and regulators points of view." @default.
- W3122264705 created "2021-02-01" @default.
- W3122264705 creator A5090689518 @default.
- W3122264705 date "2008-03-01" @default.
- W3122264705 modified "2023-10-01" @default.
- W3122264705 title "Evaluating value-at-risk measures in the presence of long memory conditional volatility" @default.
- W3122264705 cites W1966342924 @default.
- W3122264705 cites W1969960895 @default.
- W3122264705 cites W1977970167 @default.
- W3122264705 cites W1990948861 @default.
- W3122264705 cites W2139395482 @default.
- W3122264705 cites W3022145223 @default.
- W3122264705 cites W3123625461 @default.
- W3122264705 cites W3124263521 @default.
- W3122264705 doi "https://doi.org/10.21314/jor.2008.172" @default.
- W3122264705 hasPublicationYear "2008" @default.
- W3122264705 type Work @default.
- W3122264705 sameAs 3122264705 @default.
- W3122264705 citedByCount "38" @default.
- W3122264705 countsByYear W31222647052012 @default.
- W3122264705 countsByYear W31222647052013 @default.
- W3122264705 countsByYear W31222647052014 @default.
- W3122264705 countsByYear W31222647052016 @default.
- W3122264705 countsByYear W31222647052017 @default.
- W3122264705 countsByYear W31222647052018 @default.
- W3122264705 countsByYear W31222647052019 @default.
- W3122264705 countsByYear W31222647052020 @default.
- W3122264705 countsByYear W31222647052021 @default.
- W3122264705 countsByYear W31222647052022 @default.
- W3122264705 countsByYear W31222647052023 @default.
- W3122264705 crossrefType "journal-article" @default.
- W3122264705 hasAuthorship W3122264705A5090689518 @default.
- W3122264705 hasConcept C105795698 @default.
- W3122264705 hasConcept C11413529 @default.
- W3122264705 hasConcept C121955636 @default.
- W3122264705 hasConcept C149782125 @default.
- W3122264705 hasConcept C162324750 @default.
- W3122264705 hasConcept C175444787 @default.
- W3122264705 hasConcept C186215838 @default.
- W3122264705 hasConcept C187736073 @default.
- W3122264705 hasConcept C196083921 @default.
- W3122264705 hasConcept C21430997 @default.
- W3122264705 hasConcept C23922673 @default.
- W3122264705 hasConcept C2776291640 @default.
- W3122264705 hasConcept C2780759654 @default.
- W3122264705 hasConcept C2864544 @default.
- W3122264705 hasConcept C29122968 @default.
- W3122264705 hasConcept C32896092 @default.
- W3122264705 hasConcept C33923547 @default.
- W3122264705 hasConcept C41008148 @default.
- W3122264705 hasConcept C45374587 @default.
- W3122264705 hasConcept C5496284 @default.
- W3122264705 hasConcept C91602232 @default.
- W3122264705 hasConcept C94128290 @default.
- W3122264705 hasConceptScore W3122264705C105795698 @default.
- W3122264705 hasConceptScore W3122264705C11413529 @default.
- W3122264705 hasConceptScore W3122264705C121955636 @default.
- W3122264705 hasConceptScore W3122264705C149782125 @default.
- W3122264705 hasConceptScore W3122264705C162324750 @default.
- W3122264705 hasConceptScore W3122264705C175444787 @default.
- W3122264705 hasConceptScore W3122264705C186215838 @default.
- W3122264705 hasConceptScore W3122264705C187736073 @default.
- W3122264705 hasConceptScore W3122264705C196083921 @default.
- W3122264705 hasConceptScore W3122264705C21430997 @default.
- W3122264705 hasConceptScore W3122264705C23922673 @default.
- W3122264705 hasConceptScore W3122264705C2776291640 @default.
- W3122264705 hasConceptScore W3122264705C2780759654 @default.
- W3122264705 hasConceptScore W3122264705C2864544 @default.
- W3122264705 hasConceptScore W3122264705C29122968 @default.
- W3122264705 hasConceptScore W3122264705C32896092 @default.
- W3122264705 hasConceptScore W3122264705C33923547 @default.
- W3122264705 hasConceptScore W3122264705C41008148 @default.
- W3122264705 hasConceptScore W3122264705C45374587 @default.
- W3122264705 hasConceptScore W3122264705C5496284 @default.
- W3122264705 hasConceptScore W3122264705C91602232 @default.
- W3122264705 hasConceptScore W3122264705C94128290 @default.
- W3122264705 hasIssue "3" @default.
- W3122264705 hasLocation W31222647051 @default.
- W3122264705 hasOpenAccess W3122264705 @default.
- W3122264705 hasPrimaryLocation W31222647051 @default.
- W3122264705 hasRelatedWork W2015396125 @default.
- W3122264705 hasRelatedWork W2024794403 @default.
- W3122264705 hasRelatedWork W2348150750 @default.
- W3122264705 hasRelatedWork W2908927340 @default.
- W3122264705 hasRelatedWork W3121998735 @default.
- W3122264705 hasRelatedWork W3124304950 @default.
- W3122264705 hasRelatedWork W3125617313 @default.
- W3122264705 hasRelatedWork W3176151014 @default.
- W3122264705 hasRelatedWork W4246717377 @default.
- W3122264705 hasRelatedWork W2188987334 @default.
- W3122264705 hasVolume "10" @default.
- W3122264705 isParatext "false" @default.
- W3122264705 isRetracted "false" @default.
- W3122264705 magId "3122264705" @default.
- W3122264705 workType "article" @default.