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subject:"Risiko"
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1
Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.
;
Feng, Y.
;
Fouque, Jean-Pierre
;
Frittelli, Marco
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
Saved in:
2
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
3
Analysis and modeling of client order flow in limit order markets
Cont, Rama
;
Cucuringu, Mihai
;
Glukhov, Vacslav
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Saved in:
4
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
5
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
6
Estimation risk and the implicit value of index-tracking
Clark, Brian
;
Edirisinghe, Chanaka
;
Simaan, Majeed
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
Saved in:
7
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
8
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
9
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
Saved in:
10
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
11
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
12
From zero-intelligence to queue-reactive : limit-order-book modeling for high-frequency volatility estimation and optimal execution
Mariotti, Tommaso
;
Lillo, Fabrizio
;
Toscano, Giacomo
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 367-388
Persistent link: https://www.econbiz.de/10014232657
Saved in:
13
Kurtosis-based risk parity : methodology and portfolio effects
Braga, M. D.
;
Nava, C. R.
;
Zoia, M. G.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 453-469
Persistent link: https://www.econbiz.de/10014232668
Saved in:
14
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
Saved in:
15
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
16
Conditions for bubbles to arise under heterogeneous beliefs
Lee, Seunghyun
;
Park, Hyungbin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 409-421
Persistent link: https://www.econbiz.de/10013167765
Saved in:
17
Optimal solution of the liquidation problem under execution and price impact risks
Mariani, Francesca
;
Fatone, Lorella
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1037-1049
Persistent link: https://www.econbiz.de/10013367883
Saved in:
18
Time-dependent relations between gaps and returns in a Bitcoin order book
Mota-Navarro, Roberto
;
Monroy-Castillero, Paulino
; …
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1343-1354
Persistent link: https://www.econbiz.de/10013367903
Saved in:
19
Modeling price clustering in high-frequency prices
Holý, Vladimír
;
Tomanová, Petra
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1649-1663
Persistent link: https://www.econbiz.de/10013367939
Saved in:
20
Risk contributions of lambda quantiles
Ince, Akif
;
Peri, Ilaria
;
Pesenti, Silvana
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1871-1891
Persistent link: https://www.econbiz.de/10013367959
Saved in:
21
Macroeconomic uncertainty and expected shortfall (and value at risk) : a new dynamic semiparametric model
Pan, Zhiyuan
;
Wang, Yudong
;
Liu, Li
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1791-1805
Persistent link: https://www.econbiz.de/10012696775
Saved in:
22
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
23
CME iceberg order detection and prediction
Zotikov, Dmitry
;
Antonov, Anton
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
Saved in:
24
Dynamic patterns of daily lead-lag networks in stock markets
Li, Yongli
;
Liu, Chao
;
Wang, Tianchen
;
Sun, Baiqing
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2055-2068
Persistent link: https://www.econbiz.de/10012696814
Saved in:
25
Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty
Bauder, David
;
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, …
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012424557
Saved in:
26
Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.
;
Chávez-Bedoya, Luis
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
Saved in:
27
Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Giacometti, Rosella
;
Torri, Gabriele
;
Paterlini, Sandra
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 243-261
Persistent link: https://www.econbiz.de/10012424587
Saved in:
28
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Benth, Fred Espen
;
Christensen, Troels Sønderby
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012424641
Saved in:
29
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Dandapani, Aditi
;
Jusselin, Paul
;
Rosenbaum, Mathieu
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1235-1247
Persistent link: https://www.econbiz.de/10012608638
Saved in:
30
The performance of venture capital investments : failure risk, valuation uncertainty & venture characteristics
Pandher, Gurupdesh S.
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 929-943
Persistent link: https://www.econbiz.de/10012515626
Saved in:
31
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
32
Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian
;
Tian, Dejian
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
Saved in:
33
Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
Saved in:
34
Mean-variance portfolio selection under partial information with drift uncertainty
Xiong, Jie
;
Xu, Zuo Quan
;
Zheng, Jiayu
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1461-1473
Persistent link: https://www.econbiz.de/10012624147
Saved in:
35
Coherent portfolio performance ratios
Kroll, Yoram
;
Marchioni, Andrea
;
Ben-Horin, Moshe
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1589-1603
Persistent link: https://www.econbiz.de/10012624159
Saved in:
36
The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
Kim, Minjoo
;
Yang, Junhong
;
Song, Pengcheng
;
Zhao, Yang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 815-835
Persistent link: https://www.econbiz.de/10012500192
Saved in:
37
Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno
;
Reghai, Adil
;
Virrion, Benjamin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
Saved in:
38
Backtesting expected shortfall and beyond
Deng, Kaihua
;
Qiu, Jie
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
Saved in:
39
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
Bee, Marco
;
Hambuckers, J.
;
Trapin, L.
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1207-1221
Persistent link: https://www.econbiz.de/10012588037
Saved in:
40
A cost-effective approach to portfolio construction with range-based risk measures
Pun, Chi Seng
;
Wang, Lei
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 431-447
Persistent link: https://www.econbiz.de/10012483832
Saved in:
41
An alternative nonparametric tail risk measure
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
Saved in:
42
Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura
;
Eberlein, Ernst
;
Schmidt, Thorsten
; …
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
Saved in:
43
Slow-moving capital and stock returns
Isaenko, Sergei
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 969-984
Persistent link: https://www.econbiz.de/10012262653
Saved in:
44
Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric
;
Huré, Côme
;
Pham, Huyên
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
Saved in:
45
Optimal market making in the presence of latency
Gao, Xuefeng
;
Wang, Yunhan
- In:
Quantitative finance
20
(
2020
)
9
,
pp. 1495-1512
Persistent link: https://www.econbiz.de/10012295618
Saved in:
46
Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
47
The information content of high-frequency traders aggressive orders : recent evidence
Saliba, Pamela
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1779-1794
Persistent link: https://www.econbiz.de/10012295637
Saved in:
48
Analyzing order flows in limit order books with ratios of Cox-type intensities
Toke, Ioane Muni
;
Yoshida, Nakahiro
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 81-98
Persistent link: https://www.econbiz.de/10012194856
Saved in:
49
A closed-form formula characterization of the Epps effect
Buccheri, Giuseppe
;
Livieri, Giulia
;
Pirino, Davide
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 243-254
Persistent link: https://www.econbiz.de/10012194864
Saved in:
50
Market or limit orders?
Mitchell, Daniel
;
Chen, Jingnan
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 447-461
Persistent link: https://www.econbiz.de/10012194901
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