Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?

International Journal of Finance & Economics ◽

10.1002/ijfe.2043 ◽

2020 ◽

Author(s):

Leandro Maciel

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Expected Shortfall ◽

Volatility Models

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Value at Risk and Expected Shortfall under Regime Switching

SSRN Electronic Journal ◽

10.2139/ssrn.557091 ◽

2004 ◽

Cited By ~ 4

Author(s):

Allan G. Timmermann ◽

Massimo Guidolin

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Expected Shortfall

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Analytical Value-at-Risk and Expected Shortfall under regime-switching

Finance Research Letters ◽

10.1016/j.frl.2009.03.004 ◽

2009 ◽

Vol 6 (3) ◽

pp. 138-151 ◽

Cited By ~ 5

Author(s):

Abderrahim Taamouti

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Expected Shortfall

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Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market

Finance Research Letters ◽

10.1016/j.frl.2019.01.010 ◽

2020 ◽

Vol 32 ◽

pp. 101098 ◽

Cited By ~ 2

Author(s):

Nuno Sobreira ◽

Rui Louro

Keyword(s):

At Risk ◽

Stock Market ◽

Value At Risk ◽

Expected Shortfall ◽

Volatility Models

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Regime-Switching Processes and Mean-Reverting Volatility Models in Value-at-Risk Estimation: Evidence from the Taiwan Stock Index

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2019.1609442 ◽

2019 ◽

Vol 56 (12) ◽

pp. 2693-2710

Author(s):

Yi-Wen Chen ◽

Chu-Bin Lin ◽

Anthony H. Tu

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Risk Estimation ◽

Stock Index ◽

Volatility Models

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Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

SSRN Electronic Journal ◽

10.2139/ssrn.3751435 ◽

2020 ◽

Author(s):

Carlos César Trucíos Maza ◽

James W. Taylor

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Expected Shortfall ◽

Regime Switching Models ◽

Switching Models

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Estimation risk for value-at-risk and expected shortfall

The Journal of Risk ◽

10.21314/jor.2018.376 ◽

2018 ◽

Author(s):

Paul Kabaila ◽

Rheanna Mainzer

Keyword(s):

At Risk ◽

Value At Risk ◽

Expected Shortfall ◽

Estimation Risk

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Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation

The Journal of Operational Risk ◽

10.21314/jop.2007.031 ◽

2007 ◽

Vol 2 (3) ◽

pp. 29-58 ◽

Cited By ~ 17

Author(s):

Gareth Peters ◽

Adam Johansen ◽

Arnaud Doucet

Keyword(s):

At Risk ◽

Integral Equations ◽

Value At Risk ◽

Operational Risk ◽

Expected Shortfall ◽

Volterra Integral Equations ◽

Loss Distribution ◽

Annual Loss

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Conditional Encompassing Test for Expected Shortfall Jointly Elicitable with Value-at-Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3377805 ◽

2019 ◽

Author(s):

Xiaochun Liu

Keyword(s):

At Risk ◽

Value At Risk ◽

Expected Shortfall ◽

Encompassing Test

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A Regression-based Joint Encompassing Test for Value-at-Risk and Expected Shortfall Forecasts

SSRN Electronic Journal ◽

10.2139/ssrn.3497321 ◽

2019 ◽

Author(s):

Xiaochun Liu

Keyword(s):

At Risk ◽

Value At Risk ◽

Expected Shortfall ◽

Encompassing Test

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Expected Shortfall – An Alternative Risk Measure to Value-at-Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3514508 ◽

2020 ◽

Author(s):

Shiu-Wah Chu ◽

Ritabrata Bhattacharyya

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Measure ◽

Expected Shortfall

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