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ARCH model
Volatility
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Risikomanagement
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Tsafack, Georges
4
Taamouti, Abderrahim
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Afonso, António
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Cataldo, James M.
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Ergemen, Yunus Emre
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CREATES research paper
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International review of financial analysis
1
Journal of banking & finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
1
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ECONIS (ZBW)
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1
Asymmetric dependence implications for extreme risk management
Tsafack, Georges
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
1
,
pp. 7-20
Persistent link: https://www.econbiz.de/10003892313
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2
Dependence structure and extreme comovements in international equity and bond markets
Garcia, René
;
Tsafack, Georges
- In:
Journal of banking & finance
35
(
2011
)
8
,
pp. 1954-1970
Persistent link: https://www.econbiz.de/10009247377
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3
Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges
;
Cataldo, James M.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
3
,
pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
Saved in:
4
Measuring financial contagion : dealing with the volatility Bias in the correlation dynamics
Starkey, Christopher Michael
;
Tsafack, Georges
- In:
International review of financial analysis
90
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014469938
Saved in:
5
Parametric portfolio policies with common volatility dynamics
Ergemen, Yunus Emre
;
Taamouti, Abderrahim
-
2015
Persistent link: https://www.econbiz.de/10011327704
Saved in:
6
Sovereign credit ratings, market volatility, and financial gains
Afonso, António
;
Gomes, Pedro
;
Taamouti, Abderrahim
-
2014
Persistent link: https://www.econbiz.de/10011554962
Saved in:
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