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1
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
2
Managing portfolio risk during crisis times : a dynamic conditional
correlation
perspective
Zhang, Hanyu
;
Dufour, Alfonso
- In:
The quarterly review of economics and finance
94
(
2024
),
pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
Saved in:
3
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
4
Risk
correlation
based on time-varying copula function and extreme value
theory
Ji, Xinlong
;
Zhou, Lu
- In:
Theoretical economics letters
7
(
2017
)
7
,
pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
Saved in:
5
Risk measures and dependence modeling
Embrechts, Paul
;
Hofert, Marius
- In:
Handbook of Insurance : Volume II
,
(pp. 95-126)
.
2025
Persistent link: https://www.econbiz.de/10015394058
Saved in:
6
Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola
;
Ćurčić, Nikola V.
; …
- In:
Journal of business economics and management
18
(
2017
)
5
,
pp. 1023-1041
Persistent link: https://www.econbiz.de/10011781020
Saved in:
7
The role of trading volume in forecasting market risk
Slim, Skander
- In:
Inventi impact: international trade
(
2016
)
3
,
pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
Saved in:
8
When the US stock market becomes extreme?
Aboura, Sofiane
- In:
Risks : open access journal
2
(
2014
)
2
,
pp. 211-225
real estate bubble burst, credit crunch and banking panics. As a response, extreme value
theory
(EVT) provides a set of …
Persistent link: https://www.econbiz.de/10010399734
Saved in:
9
Volatility
forecast by
volatility
index and its use as a risk management tool under a value-at-risk approach
Siu, Yam Wing
- In:
Review of Pacific Basin financial markets and policies
21
(
2018
)
2
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011865598
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10
An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom
;
Van Vuuren, Gary
- In:
Investment management and financial innovations
15
(
2018
)
4
,
pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
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