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Risikomaß
Portfolio selection
72
Portfolio-Management
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Theorie
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16
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Billio, Monica
3
Chlebus, Marcin
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Buczyńsk, Mateusz
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Working papers
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Journal of risk
55
Risks : open access journal
44
Finance research letters
39
Quantitative finance
34
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30
International review of financial analysis
28
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27
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International review of economics & finance : IREF
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International journal of forecasting
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Scandinavian actuarial journal
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
2
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
3
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
4
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
5
Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322235
Saved in:
6
Hedge fund tail risk : an investigation in stressed markets, extended version with appendix
Billio, Monica
;
Frattarolo, Lorenzo
;
Pelizzon, Loriana
-
2016
Persistent link: https://www.econbiz.de/10011629465
Saved in:
7
Sovereign credit ratings, market volatility, and financial gains
Afonso, António
;
Gomes, Pedro
;
Taamouti, Abderrahim
-
2014
Persistent link: https://www.econbiz.de/10011554962
Saved in:
8
Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana
;
Canestrelli, Elio
;
Lanza, Fabio
-
2014
Persistent link: https://www.econbiz.de/10011632160
Saved in:
9
Downside risk in multiperiod tracking error models
Barro, Diana
;
Canestrelli, Elio
-
2012
Persistent link: https://www.econbiz.de/10011629031
Saved in:
10
A generalized dynamic conditional correlation model for portfolio risk evaluation
Billio, Monica
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003397550
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