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VaR in high dimensional systems : a conditional correlation approach

Herwartz, Helmut; Pedrinha, Bruno - In: Applied quantitative finance, (pp. 83-102). 2009

Persistent link: https://www.econbiz.de/10003745954

TARCH model-based dynamic hedging strategy of ADR portfolios

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Persistent link: https://www.econbiz.de/10013454273

Volatility dynamics under duration-dependent mixing

Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372

Persistent link: https://www.econbiz.de/10001558275

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

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Optimal portfolio allocation among REITs, stocks, and long-term bonds : an empirical analysis of US financial markets

Bhuyan, Rafiqul; Kuhle, James L.; Ikromov, Nuriddin; … - In: Journal of mathematical finance 4 (2014) 2, pp. 104-112

Persistent link: https://www.econbiz.de/10010380907

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default … ; Recovery ; Volatility …

Persistent link: https://www.econbiz.de/10003846062

The empirical relation between credit quality, recovery, and correlation

Rösch, Daniel; Scheule, Harald - 2009

Persistent link: https://www.econbiz.de/10003975032

Risikomanagement für heterogene Finanzportfolios

Moys, Gunnar - 2018

Persistent link: https://www.econbiz.de/10011776858

Unconditional return disturbances: A non-parametric simulation approach

Tompkins, Robert G.; D'Ecclesia, Rita Laura - In: Journal of banking & finance 30 (2006) 1, pp. 287-314

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The Use of Risk Budgets in Portfolio Optimization

Unger, Albina - 2015

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...

Persistent link: https://www.econbiz.de/10014021208