Search Results - subject:"Value‐at‐Risk"

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Dynamic robust portfolio selection under market distress

Jiang, Yifu; Olmo, Jose; Atwi, Majed - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014445636

Testing the correct specification of a system of spatial dependence models for stock returns

Kutzker, Tim; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2083-2103

Persistent link: https://www.econbiz.de/10014520115

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We …

Persistent link: https://www.econbiz.de/10015050054

Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking

Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428

Persistent link: https://www.econbiz.de/10015057498

Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes

Alonso-García, Jennifer; Boado-Penas, María del Carmen; … - 2024

Persistent link: https://www.econbiz.de/10014631072

Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact

Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - In: Risks : open access journal 12 (2024) 5, pp. 1-26

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …

Persistent link: https://www.econbiz.de/10014636599

A robust ordered weighted averaging loss model for portfolio optimization

Benati, Stefano; Sánchez Conde, Eduardo - In: Computers & operations research : an international journal 167 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014566418

Estimating Value at Risk and expected shortfall : a Kalman filter approach

Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014567063

Robust insurance design with distortion risk measures

Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 316 (2024) 2, pp. 694-706

Persistent link: https://www.econbiz.de/10014575576