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Quantitative Finance Volume 9, 2009 - Issue 8
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Research Papers

MaxVaR for non-normal and heteroskedastic returnsFootnote

Malay Bhattacharyya Quantitative Methods and Information Systems, Indian Institute of Management Bangalore, Bannerghatta Road, Bangalore, 560 076, IndiaCorrespondence[email protected]
,
Nityanand Misra FICCS Core Quant Modeling, Goldman Sachs India Securities Pvt. Ltd., Embassy Golf Links Business Park, Bangalore, 560 071, India
&
Bharat Kodase Commodities Structuring, Lehman Brothers Ltd., 25 Bank Street, London, E14 5LE, UK
Pages 925-935 | Received 27 Apr 2007, Accepted 17 Oct 2008, Published online: 22 May 2009

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Ke Zhu & Wai Keung Li. (2015) A New Pearson-Type QMLE for Conditionally Heteroscedastic Models. Journal of Business & Economic Statistics 33:4, pages 552-565.
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Ibrahim Ergen. (2015) Two-step methods in VaR prediction and the importance of fat tails. Quantitative Finance 15:6, pages 1013-1030.
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Saswat Patra & Malay Bhattacharyya. (2020) How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure. Risks 8:3, pages 76.
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Markus Leippold & Nikola Vasiljević. (2020) Option-Implied Intrahorizon Value at Risk. Management Science 66:1, pages 397-414.
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Malay Bhattacharyya & Siddarth Madhav R. (2012) A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns. Journal of Mathematical Finance 02:01, pages 13-30.
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Walter Farkas, Ludovic Mathys & Nikola Vasiljevic. (2019) Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. SSRN Electronic Journal.
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Markus Leippold & Nikola Vasiljevic. (2017) Option-Implied Intra-Horizon Value-at-Risk. SSRN Electronic Journal.
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Stavros Stavroyiannis. (2016) Value-at-Risk and Backtesting with the Aparch Model and the Standardized Pearson Type IV Distribution. SSRN Electronic Journal.
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Stavros Stavroyiannis. (2014) A Note on the Cumulative Distribution Function of the Pearson Type IV Distribution for Financial Applications. SSRN Electronic Journal.
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