Mohamed El Ghourabi

University of Tunis, Larodec

SCHOLARLY PAPERS

2

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109

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CROSSREF CITATIONS

6

Scholarly Papers (2)

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125, 2014
Number of pages: 17 Posted: 13 Dec 2014
Imed Gammoudi, Lotfi Belkacem and Mohamed El Ghourabi
University of Sousse, University of Sousse and University of Tunis, Larodec
Downloads 44 (436,856)

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125, 2014
Number of pages: 17 Posted: 12 Dec 2014
Imed Gammoudi, Lotfi BelKacem and Mohamed El Ghourabi
University of Sousse, University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and University of Tunis, Larodec
Downloads 36 (471,898)

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125
Number of pages: 17 Posted: 11 Dec 2014
Imed Gammoudi, Lotfi Belkacem and Mohamed El Ghourabi
University of Sousse, University of Sousse and University of Tunis, Larodec
Downloads 29 (507,883)

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index

2.

Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 46-76, 2016
Number of pages: 31 Posted: 22 Dec 2015
Mohamed El Ghourabi, Christian Francq and Fedya Telmoudi
University of Tunis, Larodec, University of Lille III and University of Tunis
Downloads 0 (698,441)
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APARCH, conditional VaR, distortion risk measures, GARCH, generalized quasi‚Äźmaximum likelihood estimation, instrumental density