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Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM
Giorgi, Enrico De; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 525
Persistent link: https://www.econbiz.de/10008065784
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Credit portfolio risk: Using the grouped t-copula Student-t copula models can be oversimplistic when used to describe credit portfolios. This is a new, generalised model that clusters individual risk factors within various geographical sectors.
Daul, Stéphane; Giorgi, Enrico De; Lindskog, Filip; … - In: Risk : managing risk in the world's financial markets 16 (2003) 11, pp. 73-76
Persistent link: https://www.econbiz.de/10007029826
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Aspirational Preferences and Their Representation by Risk Measures
Brown, David B.; Giorgi, Enrico De; Sim, Melvyn - In: Management science : journal of the Institute for … 58 (2012) 11, pp. 2095-2114
Persistent link: https://www.econbiz.de/10010042981
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Tree-Structured Multiple Regimes in Interest Rates
Audrino, Francesco - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 338-353
Persistent link: https://www.econbiz.de/10008222497
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Functional gradient descent for financial time series with an application to the measurement of market risk
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 4, pp. 959-978
Persistent link: https://www.econbiz.de/10005879003
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Average conditional correlation and tree structures for multivariate GARCH models
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of forecasting 25 (2006) 8, pp. 579
Persistent link: https://www.econbiz.de/10007393853
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What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
Audrino, Francesco - In: Computational economics 39 (2012) 3, pp. 315-336
Persistent link: https://www.econbiz.de/10009839637
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Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
Audrino, Francesco; Medeiros, Marcelo C. - In: Journal of applied econometrics 26 (2011) 6, pp. 999-1023
Persistent link: https://www.econbiz.de/10009290253
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A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
Audrino, Francesco; Trojani, Fabio - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 138-150
Persistent link: https://www.econbiz.de/10008817709
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-370
Persistent link: https://www.econbiz.de/10006954763