Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"The journal of fixed income"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Return predictability of Turki...
Similar by person
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
ARCH model
1
ARCH-Modell
1
Interest rate
1
Risikomaß
1
Risk measure
1
Zins
1
Type of publication
All
Article
2
Type of publication (narrower categories)
All
Article in journal
1
Aufsatz in Zeitschrift
1
Language
All
English
1
Undetermined
1
Author
All
Cakici, Nusret
2
Foster, Kevin R.
2
Published in...
All
The journal of fixed income
Journal of banking & finance
12
The journal of futures markets
7
Journal of Risk and Financial Management
6
Journal of risk and financial management : JRFM
6
Journal of Banking & Finance
5
Journal of Futures Markets
5
Journal of empirical finance
4
NBER Working Paper
4
NBER Working Papers
4
NBER working paper series
4
NYU Working Paper
4
Working paper / National Bureau of Economic Research, Inc.
4
Georgetown McDonough School of Business Research Paper
3
Journal of financial economics
3
Journal of international financial markets, institutions & money
3
The journal of finance : the journal of the American Finance Association
3
Applied economics letters
2
Financial analysts' journal : FAJ
2
Financial management
2
Financial markets, institutions & instruments
2
Fordham University Schools of Business Research Paper
2
International journal of banking, accounting and finance
2
Journal of Finance
2
Journal of economic dynamics & control
2
Journal of financial and quantitative analysis : JFQA
2
Journal of international money and finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Oxford bulletin of economics and statistics
2
Pacific-Basin finance journal
2
Review of financial economics : RFE
2
Review of quantitative finance and accounting
2
Southern economic journal
2
The journal of computational finance
2
The journal of investing : JOI
2
Working paper / National Bureau of Economic Research, Inc
2
2006 Business & Economics Society International Conference ; Vol. 2
1
2007 Business & Economics Society International Conference ; Vol. 1
1
AFA 2011 Denver Meetings Paper
1
Advances in futures and options research : a research annual
1
more ...
less ...
Source
All
ECONIS (ZBW)
1
OLC EcoSci
1
Showing
1
-
2
of
2
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Value at risk for interest rate-dependent securities
Cakici, Nusret
;
Foster, Kevin R.
- In:
The journal of fixed income
12
(
2002
)
4
,
pp. 81-95
Persistent link: https://www.econbiz.de/10001774645
Saved in:
2
VALUE AT RISK FOR INTEREST RATE-DEPENDENT SECURITIES - Value at risk (VaR) may be calculated for interest rate-dependent securities using an extension of a non-parametric estimator. The method here uses a two-dimensional kernel with adjustable bandwidth to model the risk as it changes with the level of interest rates. Since the variance, skewness, kurtosis, and higher moments of the distribution ...
Cakici, Nusret
;
Foster, Kevin R.
- In:
The journal of fixed income
12
(
2003
)
4
,
pp. 81
Persistent link: https://www.econbiz.de/10007161003
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
