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subject:"Hedging"
~person:"Mora-Valencia, Andrés"
~person:"Nguyen, Duc Khuong"
~subject:"Aktienmarkt"
~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
Aktienmarkt
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Portfolio selection
29
Portfolio-Management
29
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13
Capital income
11
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11
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8
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20
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Mora-Valencia, Andrés
Nguyen, Duc Khuong
Hammoudeh, Shawkat
32
Mensi, Walid
20
Kang, Sang Hoon
19
Tiwari, Aviral Kumar
19
Wang, Ruodu
18
McAleer, Michael
17
Fabozzi, Frank J.
15
Ur Rehman, Mobeen
14
Righi, Marcelo Brutti
13
Zaremba, Adam
12
Grobys, Klaus
11
Janabi, Mazin A. M. al
11
Rüschendorf, Ludger
11
Vanduffel, Steven
11
Wong, Wing Keung
11
Bouri, Elie
10
Lien, Da-hsiang Donald
10
Mao, Tiantian
10
Rosazza Gianin, Emanuela
10
Yoon, Seong-min
10
Dhaene, Jan
9
Ghorbel, Ahmed
9
Guesmi, Khaled
9
Melʹnikov, Aleksandr V.
9
Müller, Fernanda Maria
9
Uryasev, Stan
9
Xuan Vinh Vo
9
Arouri, Mohamed
8
Dai, Zhifeng
8
Kim, Young Shin
8
Li, Duan
8
Sensoy, Ahmet
8
Shahzad, Syed Jawad Hussain
8
Van Vuuren, Gary
8
Zhu, Shushang
8
Auer, Benjamin R.
7
Barbi, Massimiliano
7
Bernard, Carole
7
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7
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3
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2
Finance research letters
2
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1
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1
European business review : EBR ; the official journal of the International Management Centres, Europe
1
International review of financial analysis
1
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1
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1
On the role of commodity futures in portfolio diversification
Hooi Hooi Lean
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
; …
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2374-2394
Persistent link: https://www.econbiz.de/10014259167
Saved in:
2
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:
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
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:
7
Cojumps and asset allocation in international equity markets
Arouri, Mohamed
;
M’saddek, Oussama
;
Nguyen, Duc Khuong
; …
- In:
Journal of economic dynamics & control
98
(
2019
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012130688
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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