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TWO-COMPONENT EXTREME VALUE DI...
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.
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McAleer, Michael
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Powell, Robert
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2015
Persistent link: https://www.econbiz.de/10011432732
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
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2015
Persistent link: https://www.econbiz.de/10011432786
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Risk analysis of energy in Vietnam
Duc Hong Vo
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Ngoc Phu Tran
;
Tam Nguyen-Thanh Duong
; …
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2019
Persistent link: https://www.econbiz.de/10011986947
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4
GFC-robust risk management strategies under the basel accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
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2010
Persistent link: https://www.econbiz.de/10008664042
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5
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
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2010
Persistent link: https://www.econbiz.de/10008664052
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6
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
Casarin, Roberto
;
Chang, Chia-Lin
;
Jiménez-Martín, …
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2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619354
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7
GFC-robust risk management under the Basel accord using extreme value methodologies
Santos, Paulo Araújo
;
Jiménez-Martín, Juan-Ángel
; …
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2011
Persistent link: https://www.econbiz.de/10009619356
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Forecasting value-at-risk using nonlinear regression quantiles and the intraday range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
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2011
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Rev.
Persistent link: https://www.econbiz.de/10009619366
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9
Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat
;
Liu, Tengdong
;
Chang, Chia-Lin
; …
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2011
Persistent link: https://www.econbiz.de/10009619368
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10
Risk management of risk under the Basel accord: forecasting value-at-risk of VIX futures
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
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2011
Persistent link: https://www.econbiz.de/10009619372
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