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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
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Backtesting VaR under the COVID-19 sudden changes in volatility
Castillo, Brenda; León Valle, Ángel Manuel; Ñíguez, … - In: Finance research letters 43 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014633484
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Asymmetric asset correlation in credit portfolios
Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
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Uncertainty in systemic risks rankings : Bayesian and frequentist analysis
Goldman, Elena - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473601
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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The performance of the switching forecast model of value-at-risk in the Asian stock markets
Chiu, Yen-Chen; Chuang, I-Yuan - In: Finance research letters 18 (2016), pp. 43-51
Persistent link: https://www.econbiz.de/10011656521
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Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
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Optimality of the RiskMetrics VaR model
González-Rivera, Gloria; Lee, Tae-hwy; Yoldas, Emre - In: Finance research letters 4 (2007) 3, pp. 137-145
Persistent link: https://www.econbiz.de/10003702357
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Optimization of multi-period portfolio model after fitting best distribution
Kamali, Rezvan; Mahmoodi, Safieh; Jahandideh, Mohammad-Taghi - In: Finance research letters 30 (2019), pp. 44-50
Persistent link: https://www.econbiz.de/10012420187