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Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
Ng, Pin T.; Wong, Wing Keung; Xiao, Zhijie - In: European journal of operational research : EJOR 261 (2017) 2, pp. 666-678
Persistent link: https://www.econbiz.de/10011738062
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A repo model of fire sales with VWAP and LOB pricing mechanisms
Bichuch, Maxim; Feinstein, Zachary - In: European journal of operational research : EJOR 296 (2022) 1, pp. 353-367
Persistent link: https://www.econbiz.de/10012820174
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From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital
Loisel, Stéphane; Milhaud, Xavier - In: European journal of operational research : EJOR 214 (2011) 2, pp. 348-357
Persistent link: https://www.econbiz.de/10009307377
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Assessing dynamic inefficiency of the Spanish construction sector pre- and post-financial crisis
Kapelko, Magdalena; Oude Lansink, Alfons G. J. M.; … - In: European journal of operational research : EJOR 237 (2014) 1, pp. 349-357
Persistent link: https://www.econbiz.de/10010378591
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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The contagion channels of July-August-2011 stock market crash : a DAG-copula based approach
Jayech, Selma - In: European journal of operational research : EJOR 249 (2016) 2, pp. 631-646
Persistent link: https://www.econbiz.de/10011436789
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Mitigating contagion risk by investing in the safety of rivals
Azimian, Alireza; Kilgour, D. Marc; Noori, Hamid - In: European journal of operational research : EJOR 254 (2016) 3, pp. 935-945
Persistent link: https://www.econbiz.de/10011521895
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Systematic effects among loss given defaults and their Implications on downturn estimation
Betz, Jennifer; Kellner, Ralf; Rösch, Daniel - In: European journal of operational research : EJOR 271 (2018) 3, pp. 1113-1144
Persistent link: https://www.econbiz.de/10011903289
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Nonstationary Z-Score measures
Mare, Davide Salvatore; Moreira, Fernando; Rossi, Roberto - In: European journal of operational research : EJOR 260 (2017) 1, pp. 348-358
Persistent link: https://www.econbiz.de/10011698038
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Estimating Malmquist productivity indexes using probabilistic directional distances : an application to the European banking sector
Kevork, Ilias S.; Pange, Jenny; Tzeremes, Panayiotis; … - In: European journal of operational research : EJOR 261 (2017) 3, pp. 1125-1140
Persistent link: https://www.econbiz.de/10011740596