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Shevchenko, Pavel V.
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1
Portfolio construction based on implied
correlation
information and value at risk
Rogel-Salazar, Jesús
;
Tella, Roberto
- In:
EconoQuantum : Revista de Economía y Negocios
12
(
2015
)
1
,
pp. 125-144
Persistent link: https://www.econbiz.de/10011558686
Saved in:
2
Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel
-
2020
Persistent link: https://www.econbiz.de/10012488824
Saved in:
3
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
4
Managing portfolio risk during crisis times : a dynamic conditional
correlation
perspective
Zhang, Hanyu
;
Dufour, Alfonso
- In:
The quarterly review of economics and finance
94
(
2024
),
pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
Saved in:
5
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong
;
Lehnert, Thorsten
-
2017
Persistent link: https://www.econbiz.de/10011817658
Saved in:
6
Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo
;
Missong, Martin
- In:
International review of financial analysis
33
(
2014
),
pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
Saved in:
7
Risk
correlation
based on time-varying copula function and extreme value
theory
Ji, Xinlong
;
Zhou, Lu
- In:
Theoretical economics letters
7
(
2017
)
7
,
pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
Saved in:
8
Risk measures and dependence modeling
Embrechts, Paul
;
Hofert, Marius
- In:
Handbook of Insurance : Volume II
,
(pp. 95-126)
.
2025
Persistent link: https://www.econbiz.de/10015394058
Saved in:
9
Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola
;
Ćurčić, Nikola V.
; …
- In:
Journal of business economics and management
18
(
2017
)
5
,
pp. 1023-1041
Persistent link: https://www.econbiz.de/10011781020
Saved in:
10
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
Saved in:
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