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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
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Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc; Trucios, Carlos - 2020
Persistent link: https://www.econbiz.de/10012437084
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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong; Lehnert, Thorsten - 2017
Persistent link: https://www.econbiz.de/10011817658
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - In: Annals of economics and statistics 123/124 (2016), pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
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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
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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
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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
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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
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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