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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Persistent link: https://www.econbiz.de/10009575075

Consumption-based asset pricing, part 1: classic theory and tests, measurement issues, and limited participation

Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 35-83

Persistent link: https://www.econbiz.de/10011567485

Advances in specification testing

Davidson, Russell; Zinde-Walsh, Victoria - In: The Canadian journal of economics 50 (2017) 5, pp. 1595-1631

Persistent link: https://www.econbiz.de/10012170419

Static and intertemporal household decisions

Chiappori, Pierre-André; Mazzocco, Maurizio - In: Journal of economic literature 55 (2017) 3, pp. 985-1045

Persistent link: https://www.econbiz.de/10011864798

Consumer risk appetite, the credit cycle and the housing bubble

Breeden, Joseph; Canals-Cerdá, José - In: The journal of credit risk : published quarterly by … 14 (2018) 2, pp. 45-74

Persistent link: https://www.econbiz.de/10011917583

The econometrics of shape restrictions

Četverikov, Denis N.; Santos, Andres; Shaikh, Azeem M. - In: Annual review of economics 10 (2018), pp. 31-63

Persistent link: https://www.econbiz.de/10011925755

Time series econometrics

Perron, Pierre (ed.) - 2019

Persistent link: https://www.econbiz.de/10011789580

... and the cross-section of expected returns

Harvey, Campbell R.; Liu, Yan; Zhu, Heqing - 2014

Persistent link: https://www.econbiz.de/10010431329

Valid post-selection and post-regularization inference : an elementary, general approach

Chernozhukov, Victor; Hansen, Christian Bailey; … - In: Annual review of economics 7 (2015), pp. 649-688

Persistent link: https://www.econbiz.de/10011380852

A review of systems cointegration tests

Hubrich, Kirsten; Lütkepohl, Helmut; Saikkonen, Pentti - In: Econometric reviews 20 (2001) 3, pp. 247-318

Persistent link: https://www.econbiz.de/10001606186