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Copulas and portfolios in the electric vehicle sector
Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-20
distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …
Persistent link: https://www.econbiz.de/10013164959
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
copula. The copula used is such that it allows for the presence of lower tail-dependence and for asymmetric taildependence …, and that it encompasses the normal or t-copula. The model is estimated using bivariate data on a set of European stock …
Persistent link: https://www.econbiz.de/10010292792
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Risikomanagement und Risikocontrolling : Risikocontrolling - ein integrierter Bestandteil einer modernen Risikomanagement-Konzeption
Diederichs, Marc - 2010 - 2., korrigierte Aufl.
Persistent link: https://www.econbiz.de/10003885562
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Einführung in das Risikomanagement : eine personalwirtschaftliche Betrachtung
Jörg, Andrea - 2007
Persistent link: https://www.econbiz.de/10003522498
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Risk measurement and management of operational risk, reputation risk and inflation risk in the insurance industry
Kolb, Andreas - 2015
Persistent link: https://www.econbiz.de/10011299283
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...
Persistent link: https://www.econbiz.de/10009765347
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Management von Modellrisiken : Vorgaben und Anregungen zum praxisorientierten und zeitgemäßen Umgang mit (bisher kaum beachteten) Risiken
Alparslan, Adem (contributor); Heithecker, Dirk (ed.);  … - 2015
Persistent link: https://www.econbiz.de/10010465513
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Rentabilitäts- und Risikosteuerung in Pkw-Leasinggesellschaften
Rieß, Marc Sven - 2005
Persistent link: https://www.econbiz.de/10002850955