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Search: subject:"Multivariate"
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Risk management
Multivariate distribution
32
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31
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19
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19
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Option pricing theory
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multivariate GARCH
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Puccetti, Giovanni
2
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1
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1
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1
Dias, Alexandra
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Paterlini, Sandra
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Journal of banking & finance
MPRA Paper
Statistical Papers / Springer
Insurance / Mathematics & economics
32
Energy economics
13
Risks : open access journal
12
Finance research letters
7
Journal of risk and financial management : JRFM
7
The North American journal of economics and finance : a journal of financial economics studies
7
International review of financial analysis
6
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Astin bulletin : the journal of the International Actuarial Association
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European journal of operational research : EJOR
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Agricultural finance review
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International journal of theoretical and applied finance
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The European journal of finance
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The journal of operational risk
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Finance and stochastics
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IMF Working Papers
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International journal of finance & economics : IJFE
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International review of economics & finance : IREF
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SFB 649 discussion paper
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Scandinavian actuarial journal
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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Computers & operations research : and their applications to problems of world concern ; an international journal
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1
Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Brechmann, Eike
;
Czado, Claudia
;
Paterlini, Sandra
- In:
Journal of banking & finance
40
(
2014
),
pp. 271-270
Persistent link: https://www.econbiz.de/10010402193
Saved in:
2
A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.
;
Giammusso, Davide
;
Puccetti, …
- In:
Journal of banking & finance
96
(
2018
),
pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
Saved in:
3
Estimating non-linear serial and cross-interdependence between financial assets
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 837-846
Persistent link: https://www.econbiz.de/10009708737
Saved in:
4
Estimating the basis risk of index-linked hedging strategies using
multivariate
extreme value theory
Kellner, Ralf
;
Gatzert, Nadine
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034
Saved in:
5
Model uncertainty and VaR aggregation
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
Saved in:
6
Is gold a safe haven or a hedge for the US dollar? : implications for risk management
Reboredo, Juan Carlos
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2665-2676
Persistent link: https://www.econbiz.de/10009776518
Saved in:
7
Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra
- In:
Journal of banking & finance
49
(
2014
),
pp. 398-408
Persistent link: https://www.econbiz.de/10010508674
Saved in:
8
Selecting copulas for risk management
Kole, Erik
;
Koedijk, Kees
;
Verbeek, Marno
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2405-2423
Persistent link: https://www.econbiz.de/10003522947
Saved in:
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