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subject:"Hedging"
~accessRights:"restricted"
~person:"Mora-Valencia, Andrés"
~person:"Nguyen, Duc Khuong"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"Portfolio-Theorie"
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Hedging
Risikomaß
Portfolio selection
19
Portfolio-Management
19
Risk measure
10
Capital income
6
Kapitaleinkommen
6
Theorie
6
Theory
6
Backtesting
4
ARCH model
3
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3
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3
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3
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3
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3
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3
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3
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2
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2
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Mora-Valencia, Andrés
Nguyen, Duc Khuong
Hammoudeh, Shawkat
17
Wang, Ruodu
16
Kang, Sang Hoon
14
Mensi, Walid
14
Righi, Marcelo Brutti
11
Bouri, Elie
10
Tiwari, Aviral Kumar
10
Müller, Fernanda Maria
9
Vanduffel, Steven
9
Mao, Tiantian
8
Ur Rehman, Mobeen
8
Dhaene, Jan
7
Guesmi, Khaled
7
Rüschendorf, Ludger
7
Bernard, Carole
6
Cai, Jun
6
Fabozzi, Frank J.
6
Ghorbel, Ahmed
6
Härdle, Wolfgang
6
Melʹnikov, Aleksandr V.
6
Rosazza Gianin, Emanuela
6
Shahzad, Syed Jawad Hussain
6
Tan, Ken Seng
6
Umar, Zaghum
6
Yoon, Seong-min
6
Brandtner, Mario
5
Chiu, Wan-Yi
5
Furman, Edward
5
Karmakar, Madhusudan
5
Kim, Young Shin
5
Koutsokostas, Drosos
5
Lien, Da-hsiang Donald
5
Liu, Haiyan
5
Papathanasiou, Spyros
5
Roubaud, David
5
Rösch, Daniel
5
Sensoy, Ahmet
5
Tee, Kaihong
5
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Finance research letters
2
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1
International review of financial analysis
1
Journal of the Operational Research Society : OR
1
Research in international business and finance
1
Risk management : a journal of risk, crisis and disaster
1
The European journal of finance
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The journal of asset management
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The world economy : the leading journal on international economic relations
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ECONIS (ZBW)
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1
Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Malek, Jiri
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
;
Quang …
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10014472966
Saved in:
2
Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
Saved in:
3
Semi-nonparametric risk assessment with cryptocurrencies
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Research in international business and finance
59
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013410827
Saved in:
4
Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
International review of financial analysis
70
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012318296
Saved in:
5
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
The European journal of finance
25
(
2019
)
17
,
pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
Saved in:
6
Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach
Hernandez, Jose Arreola
;
Hammoudeh, Shawkat
;
Nguyen, …
- In:
Applied economics
49
(
2017
)
25
,
pp. 2409-2427
Persistent link: https://www.econbiz.de/10011819424
Saved in:
7
Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania
;
Nguyen, Duc Khuong
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
11
,
pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
Saved in:
8
Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting
Hammoudeh, Shawkat
;
Kang, Sang Hoon
;
Mensi, Walid
; …
- In:
The world economy : the leading journal on …
39
(
2016
)
11
,
pp. 1703-1727
Persistent link: https://www.econbiz.de/10011584204
Saved in:
9
Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
Hernandez, Jose Arreola
;
Janabi, Mazin A. M. al
; …
- In:
The journal of asset management
16
(
2015
)
7
,
pp. 467-483
Persistent link: https://www.econbiz.de/10011455734
Saved in:
10
Testing expected shortfall : an application to emerging market stock indices
Cardona, Emilio
;
Mora-Valencia, Andrés
; …
- In:
Risk management : a journal of risk, crisis and disaster
21
(
2019
)
3
,
pp. 153-182
Persistent link: https://www.econbiz.de/10012063260
Saved in:
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