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Search: subject:"Cornish–Fisher"
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Cornish-Fisher expansion
14
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11
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Zagaglia, Paolo
4
Amédée-Manesme, Charles-Olivier
3
Barthélémy, Fabrice
3
Gabrielsen, Alexandros
3
Kirchner, Axel
3
Liu, Zhuoshi
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2
Cribari-Neto, Francisco
2
Jaschke, Stefan R.
2
Maillard, Didier
2
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1
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De Moor, Lieven
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De Ryck, Pieter
1
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1
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1
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1
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1
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1
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1
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1
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1
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Annals of the Institute of Statistical Mathematics
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RePEc
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ECONIS (ZBW)
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EconStor
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1
The effect of COVID-19 on cryptocurrencies and the stock market volatility: A two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos
- In:
Journal of Risk and Financial Management
16
(
2023
)
1
,
pp. 1-17
Cornish-Fisher
expansion (CFVaR). The empirical results show significant long- and short-term spillover effects. The two …
Persistent link: https://www.econbiz.de/10014332800
Saved in:
2
The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-17
Cornish-Fisher
expansion (CFVaR). The empirical results show significant long- and short-term spillover effects. The two …
Persistent link: https://www.econbiz.de/10014295230
Saved in:
3
Volatility shocks, leverage effects, and time-varying conditional skewness
Kirby, Chris
-
2024
Persistent link: https://www.econbiz.de/10015338835
Saved in:
4
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
Saved in:
5
Oil tail-risk forecasts : from financial crisis to COVID-19
Kuang, Wei
- In:
Risk management : an international journal
24
(
2022
)
4
,
pp. 420-460
Persistent link: https://www.econbiz.de/10013464195
Saved in:
6
Degradation data analysis based on gamma process with random effects
Wang, Xiaofei
;
Wang, Bing Xing
;
Hong, Yili
;
Jiang, Pei Hua
- In:
European journal of operational research : EJOR
292
(
2021
)
3
,
pp. 1200-1208
Persistent link: https://www.econbiz.de/10012502436
Saved in:
7
Economic neutral position : how to best replicate not fully replicable liabilities?
Kunz, Andreas
;
Popp, Markus
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 53-67
Persistent link: https://www.econbiz.de/10012482749
Saved in:
8
Study about the minimum value at risk of stock index futures hedging applying exponentially weighted moving average : generalized autoregressive conditional heteroskedasticity model
Xu, Rong
;
Li, Xingye
- In:
International journal of economics and financial issues …
7
(
2017
)
6
,
pp. 104-110
Persistent link: https://www.econbiz.de/10011948261
Saved in:
9
Performance of value-at-risk averaging in the Nordic power futures market
Sveinsson, Jørgen Andersen
;
Frydenberg, Stein
; …
- In:
The journal of energy markets
13
(
2020
)
3
,
pp. 25-55
Persistent link: https://www.econbiz.de/10012662208
Saved in:
10
Computation of the corrected
Cornish-Fisher
expansion using the response surface methodology : application to VaR and CVaR
Amédée-Manesme, Charles-Olivier
;
Barthélémy, Fabrice
; …
- In:
Decision making and risk/return optimization in …
,
(pp. 423-453)
.
2019
Persistent link: https://www.econbiz.de/10012135898
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