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Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

Persistent link: https://www.econbiz.de/10009634376

Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011382540

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …

Persistent link: https://www.econbiz.de/10011731521

Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

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Value-at-Risk under Lévy GARCH models : evidence from global stock markets

Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed - In: Journal of international financial markets, … 46 (2017), pp. 30-53

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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

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Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

Persistent link: https://www.econbiz.de/10012132469

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279