Similar Search Results

Nonparametric estimation of copulas for time series

Fermanian, Jean-David; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001732499

Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001865031

Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001974801

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6002-6025

Persistent link: https://www.econbiz.de/10015137989

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

Persistent link: https://www.econbiz.de/10011987504

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Backtesting marginal expected shortfall and related systemic risk measures

Banulescu, Denisa; Hurlin, Christophe; Leymarie, Jérémy; … - 2019

This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to the overall risk in the financial system. Our...

Persistent link: https://www.econbiz.de/10012101182

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

Stochastic migration models with application to corporate risk

Gagliardini, Patrick; Gouriéroux, Christian - 2004

Persistent link: https://www.econbiz.de/10002598018