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Dynamic portfolio choice and optimal retirement decisions for families over the life cycle
Hubener, Andreas - 2015
Persistent link: https://www.econbiz.de/10011305446
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
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Nonlinear prediction of conditional percentiles for value-at-risk
Chang, Isaac J. - In: Glucksman fellowship program student research reports. 1999
Persistent link: https://www.econbiz.de/10001467190
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Statistics and finance : an introduction
Ruppert, David - 2004
regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …
Persistent link: https://www.econbiz.de/10001805902
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CAViaR : conditional value at risk by quantile regression
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001415135
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A portfolio theory of defaultable bonds and its empirical validation
Schubert, Dirk A. - 2004
Persistent link: https://www.econbiz.de/10002212131
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CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
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The effect of estimation in high-dimensional portfolios
Gandy, Axel; Veraart, Luitgard A. M. - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 531-559
Persistent link: https://www.econbiz.de/10009783354
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Factor mimicking portfolios from parametric portfolio policies
Ascheberg, Marius - In: Essays on empirical asset pricing, dynamic asset …, (pp. 69-96). 2013
Persistent link: https://www.econbiz.de/10010412570
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The Black-Litterman approach and views from predictive regressions : theory and implementation
Geyer, Alois; Lučivjanská, Katarína - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 38-48
Persistent link: https://www.econbiz.de/10011686085