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~person:"Chang, Chia-Lin"
~person:"Chen, Yi-Hsuan"
~subject:"Credit derivative"
~subject:"Value-at-risk"
~subject:"Volatility"
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Credit derivative
Value-at-risk
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Risikomaß
32
Risk measure
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26
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16
Value-at-Risk
16
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mixture models
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value-at-risk
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Chang, Chia-Lin
Chen, Yi-Hsuan
McAleer, Michael
45
Hammoudeh, Shawkat
15
Allen, David E.
14
Caporin, Massimiliano
14
Daníelsson, Jón
12
Asai, Manabu
11
Paolella, Marc S.
10
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9
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9
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8
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8
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8
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7
Ji, Qiang
7
Kang, Sang Hoon
7
Mora-Valencia, Andrés
7
Perote, Javier
7
Scharth, Marcel
7
Wirjanto, Tony S.
7
Ardia, David
6
Bianchi, Michele Leonardo
6
Bollerslev, Tim
6
Giot, Pierre
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Haas, Markus
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Liu, Bing-Yue
6
Pérez Amaral, Teodosio
6
Scheicher, Martin
6
Taamouti, Abderrahim
6
Tiwari, Aviral Kumar
6
Tu, Anthony H.
6
Al-Yahyaee, Khamis Hamed
5
Aloui, Chaker
5
Bee, Marco
5
Billio, Monica
5
Chen, Cathy W. S.
5
Chiang, Thomas C.
5
Fabozzi, Frank J.
5
Floros, Christos
5
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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ECONIS (ZBW)
17
RePEc
3
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1
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
2
A factor-based approach of bond portfolio value-at-risk : the informational roles of macroeconomic and financial stress factors
Tu, Anthony H.
;
Chen, Yi-Hsuan
- In:
Journal of empirical finance
45
(
2018
),
pp. 243-268
Persistent link: https://www.econbiz.de/10012102413
Saved in:
3
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
4
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009701642
Saved in:
5
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009744769
Saved in:
6
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
7
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724823
Saved in:
8
Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat
;
Liu, Tengdong
;
Chang, Chia-Lin
; …
-
2011
Persistent link: https://www.econbiz.de/10009619368
Saved in:
9
Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat
;
Liu, Tengdong
;
Chang, Chia-Lin
; …
-
2011
Persistent link: https://www.econbiz.de/10009012018
Saved in:
10
Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877105
Saved in:
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