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Search: subject_exact:"Value at risk"
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Risikomaß
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ECONIS (ZBW)
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EconStor
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21
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima
- In:
Journal of empirical finance
70
(
2023
),
pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
Saved in:
22
Investigating tail-risk dependence in the cryptocurrency markets : a LASSO quantile regression approach
Linh Hoang Nguyen
;
Chevapatrakul, Thanaset
;
Yao, Kai
- In:
Journal of empirical finance
58
(
2020
),
pp. 333-355
Persistent link: https://www.econbiz.de/10012430704
Saved in:
23
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
24
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
25
Value at risk, cross-sectional returns and the role of investor sentiment
Bi, Jia
;
Zhu, Yifeng
- In:
Journal of empirical finance
56
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012423148
Saved in:
26
S&P 500 index, an option implied risk analysis
Barone-Adesi, Giovanni
;
Legnazzi, Chiara
;
Sala, Carlo
-
2016
Persistent link: https://www.econbiz.de/10011619773
Saved in:
27
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian
;
Nigbur, Tobias
;
Seeger, Norman
- In:
Journal of empirical finance
42
(
2017
),
pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Saved in:
28
Asset pricing with extreme liquidity risk
Wu, Ying
- In:
Journal of empirical finance
54
(
2019
),
pp. 143-165
Persistent link: https://www.econbiz.de/10012174793
Saved in:
29
Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
54
(
2019
),
pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
Saved in:
30
Conditional tail-risk in cryptocurrency markets
Borri, Nicola
- In:
Journal of empirical finance
50
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012169911
Saved in:
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