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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Scandinavian actuarial journal"
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Search: subject:"Multivariate Analyse"
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Scandinavian actuarial journal
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4
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1
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
2
Multivariate geometric expectiles
Herrmann, Klaus J.
;
Hofert, Marius
;
Mailhot, Mélina
- In:
Scandinavian actuarial journal
(
2018
)
7
,
pp. 629-659
Persistent link: https://www.econbiz.de/10011939715
Saved in:
3
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
4
Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.
;
Nogales, Francisco J.
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
Saved in:
5
Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán
;
Heinen, Andréas
;
Valdesogo, Alfonso
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
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