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subject:"ARCH model"
~accessRights:"restricted"
~person:"Dempsey, Michael"
~person:"Furman, Edward"
~subject:"Statistical distribution"
~type:"article"
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Dempsey, Michael
Furman, Edward
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Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward
;
Kye, Yisub
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
Saved in:
2
Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation
Mohammed, Nawaf
;
Furman, Edward
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 425-436
Persistent link: https://www.econbiz.de/10012793935
Saved in:
3
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif
;
Kabir, M. Humayun
;
Dempsey, Michael
; …
- In:
Applied economics letters
27
(
2020
)
3
,
pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
Saved in:
4
Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Mozumder, Sharif
;
Dempsey, Michael
;
Kabir, M. Humayun
- In:
Journal of risk finance : the convergence of financial …
18
(
2017
)
1
,
pp. 88-118
Persistent link: https://www.econbiz.de/10011653721
Saved in:
5
Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif
;
Kabir, Humayun
;
Dempsey, Michael
- In:
Applied economics
50
(
2018
)
56
,
pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
Saved in:
6
Spectral measures of risk for international futures markets : a comparison of extreme value and Lévy models
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Global finance journal
37
(
2018
),
pp. 248-261
Persistent link: https://www.econbiz.de/10012125354
Saved in:
7
Multiple risk factor dependence structures : copulas and related properties
Su, Jianxi
;
Furman, Edward
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 109-121
Persistent link: https://www.econbiz.de/10011712411
Saved in:
8
Multiple risk factor dependence structures : distributional properties
Su, Jianxi
;
Furman, Edward
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 56-68
Persistent link: https://www.econbiz.de/10011774770
Saved in:
9
A form of multivariate pareto distribution with applications to financial risk measurement
Su, Jianxi
;
Furman, Edward
- In:
Astin bulletin : the journal of the International …
47
(
2017
)
1
,
pp. 331-357
Persistent link: https://www.econbiz.de/10011671067
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