Jaroslav Baran

European Stability Mechanism

6a Circuit de la Foire Internationale

L-1347

Luxembourg

SCHOLARLY PAPERS

3

DOWNLOADS

605

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

A Comparison of EVT and Standard VaR Estimations

Number of pages: 27 Posted: 23 Feb 2011 Last Revised: 07 Mar 2011
Jaroslav Baran and Jiri Witzany
European Stability Mechanism and University of Economics in Prague
Downloads 452 (69,204)
Citation 3

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Risk Measures, Value-at-Risk, Extreme Value Theory, GARCH Estimations, Expected Shortfall, Backtesting

2.

Analysing Cross-Currency Basis Spreads

European Stability Mechanism Working Paper No. 25
Number of pages: 29 Posted: 18 Jul 2017
Jaroslav Baran and Jiri Witzany
European Stability Mechanism and University of Economics in Prague
Downloads 127 (243,416)
Citation 1

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Cross-currency swap, basis spread, overnight indexed swap, cointegration, arbitrage

3.

Volatility Indices and Implied Uncertainty Measures of European Government Bond Futures

European Stability Mechanism Working Paper No. 43
Number of pages: 48 Posted: 19 May 2020
Jaroslav Baran and Jan Vorisek
European Stability Mechanism and Academy of Sciences of the Czech Republic
Downloads 26 (529,751)

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bond futures, market expectations, options, probability density function, SABR, VIX, volatility index