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~person:"Harris, Richard D. F."
~person:"Scaillet, Olivier"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
~type_genre:"Aufsatz in Zeitschrift"
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Harris, Richard D. F.
Scaillet, Olivier
Wang, Ruodu
23
Hammoudeh, Shawkat
20
Righi, Marcelo Brutti
14
Mao, Tiantian
13
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ECONIS (ZBW)
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1
Systematic extreme downside risk
Harris, Richard D. F.
;
Nguyen, Linh
;
Stoja, Evarist
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 128-142
Persistent link: https://www.econbiz.de/10012128287
Saved in:
2
Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
Saved in:
3
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
Saved in:
4
Dynamic hedge fund portfolio construction : a semi-parametric approach
Harris, Richard D. F.
;
Mazibas, Murat
- In:
Journal of banking & finance
37
(
2013
)
1
,
pp. 139-149
Persistent link: https://www.econbiz.de/10009675549
Saved in:
5
Average tail risk and aggregate stock returns
Dai, Yingtong
;
Harris, Richard D. F.
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
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