Improving Value-at-Risk Prediction Under Model Uncertainty
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Cited by:
- Shuzhen Yang & Wenqing Zhang, 2024. "Asset pricing under model uncertainty with finite time and states," Papers 2408.13048, arXiv.org.
- Parvin Malekzadeh & Zissis Poulos & Jacky Chen & Zeyu Wang & Konstantinos N. Plataniotis, 2024. "EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning," Papers 2408.12446, arXiv.org, revised Aug 2024.
- Minglian Lin & Indranil SenGupta & William Wilson, 2023. "Estimation of VaR with jump process: application in corn and soybean markets," Papers 2311.00832, arXiv.org, revised Jun 2024.
- Ravi Kashyap, 2024. "The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement," Papers 2408.07271, arXiv.org.
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Keywords
empirical finance; G-normal distribution; model uncertainty; sublinear expectation; value-at-risk;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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