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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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The use of risk budgets in portfolio optimization
Unger, Albina - 2015
Persistent link: https://www.econbiz.de/10010413063
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The Use of Risk Budgets in Portfolio Optimization
Unger, Albina - 2015
Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting …Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the … asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the …
Persistent link: https://www.econbiz.de/10014021208
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CAViaR : conditional value at risk by quantile regression
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001415135
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CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
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Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
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Board risk oversight, hedging intensity, and the idiosyncratic risk of US banks
Fogel, Kathy; Shao, Yingying; Yeager, Timothy J. - In: Risk management and corporate governance, (pp. 117-130). 2012
Persistent link: https://www.econbiz.de/10009505370
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Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
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Self-exciting extreme value models for stock market crashes
Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003781013