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subject:"Hedging"
~person:"Barbi, Massimiliano"
~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
36
Portfolio-Management
36
Risk measure
16
Capital income
12
Kapitaleinkommen
12
Theorie
10
Theory
10
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8
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5
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4
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4
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4
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3
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3
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23
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Barbi, Massimiliano
Mora-Valencia, Andrés
Nguyen, Duc Khuong
Hammoudeh, Shawkat
28
Wang, Ruodu
18
Kang, Sang Hoon
15
Mensi, Walid
15
McAleer, Michael
14
Righi, Marcelo Brutti
13
Tiwari, Aviral Kumar
13
Fabozzi, Frank J.
12
Janabi, Mazin A. M. al
11
Rüschendorf, Ludger
11
Vanduffel, Steven
11
Bouri, Elie
10
Lien, Da-hsiang Donald
10
Mao, Tiantian
10
Rosazza Gianin, Emanuela
10
Dhaene, Jan
9
Ghorbel, Ahmed
9
Melʹnikov, Aleksandr V.
9
Müller, Fernanda Maria
9
Uryasev, Stan
9
Guesmi, Khaled
8
Ur Rehman, Mobeen
8
Zhu, Shushang
8
Bernard, Carole
7
Brandtner, Mario
7
Härdle, Wolfgang
7
Kim, Young Shin
7
Li, Duan
7
Pérez Amaral, Teodosio
7
Tan, Ken Seng
7
Tang, Qihe
7
Van Vuuren, Gary
7
Alexander, Gordon J.
6
Cai, Jun
6
Furman, Edward
6
Karmakar, Madhusudan
6
Kürsten, Wolfgang
6
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Applied economics
4
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3
Finance research letters
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The European journal of finance
2
Emerging markets review
1
European business review : EBR ; the official journal of the International Management Centres, Europe
1
European financial management : the journal of the European Financial Management Association
1
International review of financial analysis
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ECONIS (ZBW)
23
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1
Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
León-Camacho, Bernardo
;
Mora-Valencia, Andrés
; …
- In:
The engineering economist : a journal devoted to the …
67
(
2022
)
3
,
pp. 218-233
Persistent link: https://www.econbiz.de/10013362736
Saved in:
2
CFO pay convexity, risk taking and corporate hedging
Barbi, Massimiliano
;
Febo, Valentina
;
Massimiliani, Irene
- In:
European financial management : the journal of the …
30
(
2024
)
3
,
pp. 1545-1586
Persistent link: https://www.econbiz.de/10014574101
Saved in:
3
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:
4
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:
5
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:
6
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
Saved in:
7
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:
8
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:
9
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:
10
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
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