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isPartOf:"Review of financial economics : RFE"
subject:"Risk measure"
~accessRights:"restricted"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of risk : JOR"
~isPartOf:"Research paper series / Swiss Finance Institute"
~source:"econis"
~type_genre:"Aufsatz in Zeitschrift"
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Risk measure
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Review of financial economics : RFE
Journal of empirical finance
Journal of risk : JOR
Research paper series / Swiss Finance Institute
Insurance / Mathematics & economics
65
European journal of operational research : EJOR
31
Finance research letters
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1
Peak-to-valley drawdowns : insights into extreme path-dependent market risk
Geboers, Hans
;
Depaire, Benoit
;
Straetmans, Stefan
- In:
Journal of risk : JOR
26
(
2023
)
2
,
pp. 65-104
Persistent link: https://www.econbiz.de/10014487302
Saved in:
2
Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management
Sharma, Udayan
;
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
41
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014278639
Saved in:
3
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk : JOR
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014487093
Saved in:
4
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk : JOR
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014487101
Saved in:
5
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk : JOR
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
Saved in:
6
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
7
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
8
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
9
Measuring long-term tail risk : evaluating the performance of the square-root-of-time rule
Wang, Jying-Nan
;
Du, Jiangze
;
Hsu, Yuan-Teng
- In:
Journal of empirical finance
47
(
2018
),
pp. 120-138
Persistent link: https://www.econbiz.de/10012103480
Saved in:
10
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
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