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Quantitative Finance Volume 7, 2007 - Issue 6
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Research papers

Conditional tail behaviour and Value at Risk

Fabio Bellini University of Milano-Bicocca, Piazza Ateneo Nuovo 1, 20126 Milan, ItalyCorrespondence[email protected]
&
Gianna Figà-talamanca University of Perugia, via Pascoli 20, 06123 Perugia, Italy
Pages 599-607 | Received 09 Sep 2004, Accepted 28 Jul 2006, Published online: 28 Nov 2007

Citations (8)

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Read on this site (2)

Fabio Bellini & Valeria Bignozzi. (2015) On elicitable risk measures. Quantitative Finance 15:5, pages 725-733.
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Dolores Furió & Francisco J. Climent. (2013) Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation. Quantitative Finance 13:1, pages 45-63.
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Articles from other publishers (6)

Gianna Figà-Talamanca & Marco Patacca. (2019) Disentangling the relationship between Bitcoin and market attention measures. Journal of Industrial and Business Economics 47:1, pages 71-91.
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Jung-Bin Su, Ming-Chih Lee & Chien-Liang Chiu. (2014) Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets. International Review of Economics & Finance 31, pages 59-85.
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Anna Maria Fiori, Emanuela Rosazza Gianin & Anna Spasova. 2012. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 183 191 .
Fabio Bellini, Ilia Negri & Mariya Pyatkova. (2017) Backtesting VaR and Expectiles with Realized Scores. SSRN Electronic Journal.
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Fabio Bellini & Valeria Bignozzi. (2013) Elicitable Risk Measures. SSRN Electronic Journal.
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Darina Todorova. (2009) Performance Evaluation of VAR Models in Emerging Markets: An Application to the Bulgarian and the Romanian Markets. SSRN Electronic Journal.
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