Matches in SemOpenAlex for { <https://semopenalex.org/work/W4213363918> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W4213363918 endingPage "28" @default.
- W4213363918 startingPage "1" @default.
- W4213363918 abstract "Value-at-risk (VAR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VAR techniques. The purpose of this paper is to assess the precision of common dynamic models and to quantify the magnitude of the estimation error by constructing confidence intervals around the point VAR and expected shortfall (ES) forecasts. A key challenge in constructing proper confidence intervals arises from the conditional variance dynamics that are typically found in speculative returns. Our paper suggests a resampling technique which takes into account parameter estimation error in dynamic models of portfolio variance." @default.
- W4213363918 created "2022-02-24" @default.
- W4213363918 creator A5010432308 @default.
- W4213363918 creator A5054326143 @default.
- W4213363918 date "2005-04-01" @default.
- W4213363918 modified "2023-10-17" @default.
- W4213363918 title "Estimation risk in financial risk management" @default.
- W4213363918 doi "https://doi.org/10.21314/jor.2005.112" @default.
- W4213363918 hasPublicationYear "2005" @default.
- W4213363918 type Work @default.
- W4213363918 citedByCount "78" @default.
- W4213363918 countsByYear W42133639182012 @default.
- W4213363918 countsByYear W42133639182013 @default.
- W4213363918 countsByYear W42133639182014 @default.
- W4213363918 countsByYear W42133639182015 @default.
- W4213363918 countsByYear W42133639182016 @default.
- W4213363918 countsByYear W42133639182017 @default.
- W4213363918 countsByYear W42133639182018 @default.
- W4213363918 countsByYear W42133639182019 @default.
- W4213363918 countsByYear W42133639182020 @default.
- W4213363918 countsByYear W42133639182021 @default.
- W4213363918 countsByYear W42133639182022 @default.
- W4213363918 countsByYear W42133639182023 @default.
- W4213363918 crossrefType "journal-article" @default.
- W4213363918 hasAuthorship W4213363918A5010432308 @default.
- W4213363918 hasAuthorship W4213363918A5054326143 @default.
- W4213363918 hasBestOaLocation W42133639182 @default.
- W4213363918 hasConcept C10138342 @default.
- W4213363918 hasConcept C105795698 @default.
- W4213363918 hasConcept C121955636 @default.
- W4213363918 hasConcept C149782125 @default.
- W4213363918 hasConcept C150921843 @default.
- W4213363918 hasConcept C162118730 @default.
- W4213363918 hasConcept C162324750 @default.
- W4213363918 hasConcept C187736073 @default.
- W4213363918 hasConcept C196083921 @default.
- W4213363918 hasConcept C2780821815 @default.
- W4213363918 hasConcept C32896092 @default.
- W4213363918 hasConcept C33923547 @default.
- W4213363918 hasConcept C41008148 @default.
- W4213363918 hasConcept C41426520 @default.
- W4213363918 hasConcept C43071985 @default.
- W4213363918 hasConcept C44249647 @default.
- W4213363918 hasConcept C5496284 @default.
- W4213363918 hasConcept C76073288 @default.
- W4213363918 hasConcept C94128290 @default.
- W4213363918 hasConcept C96250715 @default.
- W4213363918 hasConceptScore W4213363918C10138342 @default.
- W4213363918 hasConceptScore W4213363918C105795698 @default.
- W4213363918 hasConceptScore W4213363918C121955636 @default.
- W4213363918 hasConceptScore W4213363918C149782125 @default.
- W4213363918 hasConceptScore W4213363918C150921843 @default.
- W4213363918 hasConceptScore W4213363918C162118730 @default.
- W4213363918 hasConceptScore W4213363918C162324750 @default.
- W4213363918 hasConceptScore W4213363918C187736073 @default.
- W4213363918 hasConceptScore W4213363918C196083921 @default.
- W4213363918 hasConceptScore W4213363918C2780821815 @default.
- W4213363918 hasConceptScore W4213363918C32896092 @default.
- W4213363918 hasConceptScore W4213363918C33923547 @default.
- W4213363918 hasConceptScore W4213363918C41008148 @default.
- W4213363918 hasConceptScore W4213363918C41426520 @default.
- W4213363918 hasConceptScore W4213363918C43071985 @default.
- W4213363918 hasConceptScore W4213363918C44249647 @default.
- W4213363918 hasConceptScore W4213363918C5496284 @default.
- W4213363918 hasConceptScore W4213363918C76073288 @default.
- W4213363918 hasConceptScore W4213363918C94128290 @default.
- W4213363918 hasConceptScore W4213363918C96250715 @default.
- W4213363918 hasIssue "3" @default.
- W4213363918 hasLocation W42133639181 @default.
- W4213363918 hasLocation W42133639182 @default.
- W4213363918 hasOpenAccess W4213363918 @default.
- W4213363918 hasPrimaryLocation W42133639181 @default.
- W4213363918 hasRelatedWork W2352782575 @default.
- W4213363918 hasRelatedWork W2360133672 @default.
- W4213363918 hasRelatedWork W2381915135 @default.
- W4213363918 hasRelatedWork W2386933659 @default.
- W4213363918 hasRelatedWork W2784202702 @default.
- W4213363918 hasRelatedWork W3122839946 @default.
- W4213363918 hasRelatedWork W3126123222 @default.
- W4213363918 hasRelatedWork W3149677656 @default.
- W4213363918 hasRelatedWork W4301377905 @default.
- W4213363918 hasRelatedWork W799577184 @default.
- W4213363918 hasVolume "7" @default.
- W4213363918 isParatext "false" @default.
- W4213363918 isRetracted "false" @default.
- W4213363918 workType "article" @default.