Outliers, GARCH-type models and risk measures : a comparison of several approaches
Year of publication: |
2014
|
---|---|
Authors: | Grané, Aurea ; Almeida, Helena Tenório Veiga de |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 26.2014, p. 26-40
|
Subject: | Minimum capital risk requirements | Outliers | Robust estimation | Wavelets | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure |
-
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Lotfi, Somayyeh, (2018)
-
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan, (2022)
-
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui, (2023)
- More ...
-
Reflexões sobre a inovação no Brasil e o papel do BNDES
Kickinger, Flávia Campos, (2010)
-
Dynamic effects in inefficiency : evidence from the Colombian banking sector
Galán, Jorge E., (2015)
-
Almeida, Helena Tenório Veiga de, (2020)
- More ...