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Communications in Statistics - Simulation and Computation Volume 43, 2014 - Issue 10
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Original Articles

Alternative Approximations to Value-At-Risk: A Comparison

Donald LienCollege of Business, University of Texas at San Antonio, San Antonio, Texas, TX, USACorrespondence[email protected]
,
Xiaobin YangAnalytic Focus, LLC, San Antonio, TX, USA
&
Keying YeCollege of Business, University of Texas at San Antonio, San Antonio, Texas, TX, USA
Pages 2225-2240 | Received 16 Aug 2012, Accepted 05 Dec 2012, Published online: 12 Jun 2014

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Read on this site (4)

Khreshna Syuhada, Arief Hakim & Risti Nur’aini. (2023) The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data. Communications in Statistics - Simulation and Computation 52:7, pages 3104-3121.
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Mátyás Barczy, Ádám Dudás & József Gáll. (2023) On approximations of value at risk and expected shortfall involving kurtosis. Communications in Statistics - Simulation and Computation 52:3, pages 770-794.
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Chung-Chu Chuang, Yi-Hsien Wang & Tsai-Jung Yeh. (2020) Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model. Emerging Markets Finance and Trade 56:3, pages 508-526.
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Donald Lien, Christopher Stroud & Keying Ye. (2016) Comparing VaR Approximation Methods that Use the First Four Moments as Inputs. Communications in Statistics - Simulation and Computation 45:2, pages 491-503.
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Articles from other publishers (5)

Jaime de Jesus FilhoPaulo MatosRonald Fonseca. (2020) The Role of Contagion and Integration in Risk Management Measures. Global Business Review 24:5, pages 1111-1128.
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Pankaj K. Agarwal & H. K. Pradhan. (2022) Do Mutual Funds Reward Downside Risk? Evidence from an Emerging Economy. Review of Pacific Basin Financial Markets and Policies 26:02.
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Kaijian He, Hongqian Wang, Jiangze Du & Yingchao Zou. (2016) Forecasting Electricity Market Risk Using Empirical Mode Decomposition (EMD)—Based Multiscale Methodology. Energies 9:11, pages 931.
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Maria Rosa Nieto & Esther Ruiz. (2016) Frontiers in VaR forecasting and backtesting. International Journal of Forecasting 32:2, pages 475-501.
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P. Andrikopoulos, J. Niklewski & T. Rodgers. 2016. Handbook of Frontier Markets. Handbook of Frontier Markets 163 192 .

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