Narrow search
Showing 1 - 10 of 196
Cover Image
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Cover Image
On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
Cover Image
Oil risk and asset returns : evidence from emerging markets in the Middle East
Nikkinen, Jussi; Saleem, Kashif; Martikainen, Minna; … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 169-189
Persistent link: https://www.econbiz.de/10010465076
Cover Image
Development of risk-based control charts considering measurement uncertainty
Hegedüs, Csaba; Kosztyán, Zsolt Tibor - In: Research in the decision sciences for global business : …, (pp. 239-248). 2015
Persistent link: https://www.econbiz.de/10011896850
Cover Image
Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
Cover Image
Portfolio stress testing applied to commodity futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240
Persistent link: https://www.econbiz.de/10012272062
Cover Image
The dependence structure between Chinese and other major stock markets using extreme values and copulas
Hussain, Saiful Izzuan; Li, Steven - In: International review of economics & finance : IREF 56 (2018), pp. 421-437
Persistent link: https://www.econbiz.de/10012033721
Cover Image
Tail behaviour and tail dependence of generalized hyperbolic distributions
Hammerstein, Ernst August v. - In: Advanced modelling in mathematical finance : in honour …, (pp. 3-40). 2016
Persistent link: https://www.econbiz.de/10011800330
Cover Image
A joint top income and wealth distribution
Steiner, Viktor; Zhu, Junyi - 2020 - Preliminary draft – 2019.05.30
estimation of these two top distributions. We leverage the bivariate parametric/non-parametric copula to extrapolate both income … and wealth distributions from German PHF (Panel on Household Finance) data. The copula modelling potentially reduces the …. The copula estimate can help us to perform out-of-sample prediction on the very top of the tail distribution from one …
Persistent link: https://www.econbiz.de/10012438173
Cover Image
Value-at-Risk dynamics : a copula-VAR approach
De Luca, Giovanni; Rivieccio, Giorgia; Corsaro, Stefania - In: The European journal of finance 26 (2020) 2/3, pp. 223-237
Persistent link: https://www.econbiz.de/10012207202