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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Economic modelling"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"International review of economics & finance : IREF"
~person:"Barbagli, Matteo"
~person:"Su, Jung-bin"
~subject:"ARCH model"
~subject:"Ausreißer"
~subject:"Measurement"
~subject:"Welt"
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Astin bulletin : the journal of the International Actuarial Association
Economic modelling
International journal of theoretical and applied finance
International review of economics & finance : IREF
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1
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1
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Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Barbagli, Matteo
;
Vrins, Frédéric
- In:
Economic modelling
125
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463531
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2
Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
Su, Jung-bin
- In:
Economic modelling
46
(
2015
),
pp. 204-224
Persistent link: https://www.econbiz.de/10011436595
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3
Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Su, Jung-bin
;
Lee, Ming-chih
;
Chiu, Chien-Liang
- In:
International review of economics & finance : IREF
31
(
2014
),
pp. 59-85
Persistent link: https://www.econbiz.de/10010490442
Saved in:
4
Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation
Su, Jung-bin
;
Hung, Jui-cheng
- In:
Economic modelling
28
(
2011
)
3
,
pp. 1117-1130
Persistent link: https://www.econbiz.de/10009271254
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