Narrow search
Showing 1 - 7 of 7
Cover Image
Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
Cover Image
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
Cover Image
Analytical value-at-risk and expected shortfall under regime switching
Taamouti, Abderrahim - 2009
Persistent link: https://www.econbiz.de/10003972447
Cover Image
Analytical Value-at-Risk and Expected Shortfall under regime-switching
Taamouti, Abderrahim - In: Finance research letters 6 (2009) 3, pp. 138-151
Persistent link: https://www.econbiz.de/10003888009
Cover Image
Portfolio risk management in a data-rich environment
Bouaddi, Mohammed; Taamouti, Abderrahim - In: Financial markets and portfolio management 26 (2012) 4, pp. 469-494
Persistent link: https://www.econbiz.de/10009667499
Cover Image
Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
Cover Image
Value-at-risk under measurement error
Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - In: Oxford bulletin of economics and statistics 86 (2024) 3, pp. 690-713
Persistent link: https://www.econbiz.de/10014543504