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Items where Author is "Sampid, Marius"

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Sampid, Marius and Hasim, Haslifah (2021) Forecasting robust value-at-risk estimates: Evidence from UK banks. Quantitative Finance, 21 (11). pp. 1955-1975. DOI https://doi.org/10.1080/14697688.2019.1579923

Sampid, Marius and Hasim, Haslifah (2018) Estimating value-at-risk using a multivariate copula-based volatility model: Evidence from European banks. International Economics, 156 (156). pp. 175-192. DOI https://doi.org/10.1016/j.inteco.2018.03.001

Sampid, Marius and Hasim, Haslifah M and Dai, Hongsheng (2018) Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. PLoS ONE, 13 (6). e0198753-e0198753. DOI https://doi.org/10.1371/journal.pone.0198753

This list was generated on Fri May 24 05:32:31 2024 BST.