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Semi-parametric financial risk forecasting incorporating multiple realized measures

Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837

Persistent link: https://www.econbiz.de/10015196974

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Managing the riskiness of defined contribution pension funds in a fair-valuation context

Orlando, Albina; Politano, Massimiliano - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 184-193

Persistent link: https://www.econbiz.de/10003963548

Conditional Monte Carlo estimation of quantile sensitivities

Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027

Persistent link: https://www.econbiz.de/10003928512

Monte-Carlo-Simulation : Einsatz im Rahmen der Unternehmensplanung

Wolf, Klaus - In: Controlling : Zeitschrift für erfolgsorientierte … 21 (2009) 10, pp. 545-552

Persistent link: https://www.econbiz.de/10003888193

Efficient risk estimation via nested sequential simulation

Broadie, Mark; Du, Yiping; Moallemi, Ciamac Cyrus - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1172-1194

Persistent link: https://www.econbiz.de/10009238212

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - 2011

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...

Persistent link: https://www.econbiz.de/10009373436

Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011

Persistent link: https://www.econbiz.de/10009011936

Investing in transport security solutions : using the quantitative risk assessment (QRA) approach

Urciuoli, Luca - In: International journal of risk assessment and management … 15 (2011) 4, pp. 275-298

Persistent link: https://www.econbiz.de/10009380239

Managing systematic mortality risk with group self-pooling and annuitization schemes

Qiao, Chao; Sherris, Michael - In: The journal of risk and insurance : the journal of the … 80 (2013) 4, pp. 949-974

Persistent link: https://www.econbiz.de/10010235576

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