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~person:"Gouriéroux, Christian"
~person:"Huschens, Stefan"
~person:"Stoyanov, Stoyan V."
~person:"Vries, Casper G. de"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Gouriéroux, Christian
Huschens, Stefan
Stoyanov, Stoyan V.
Vries, Casper G. de
Wang, Ruodu
27
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22
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21
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19
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17
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13
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11
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10
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1
Defensive portfolio construction based on extreme value at risk
Schmielewski, Frank
;
Stoyanov, Stoyan V.
- In:
The journal of portfolio management : a publication of …
43
(
2017
)
3
,
pp. 42-50
Persistent link: https://www.econbiz.de/10011687053
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2
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
Saved in:
3
Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio
;
Stork, Philip
;
Vries, Casper G. de
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 868-895
Persistent link: https://www.econbiz.de/10011417824
Saved in:
4
Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian
;
Monfort, Alain
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
Saved in:
5
Fat tails, VaR and subadditivity
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Samorodnitsky, …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
Saved in:
6
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
7
Stochastic orders and non-Gaussian risk factor models
Höse, Steffi
;
Huschens, Stefan
- In:
Review of managerial science
7
(
2013
)
2
,
pp. 99-140
Persistent link: https://www.econbiz.de/10009717183
Saved in:
8
Estimation-adjusted VAR
Gouriéroux, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
29
(
2013
)
4
,
pp. 735-770
Persistent link: https://www.econbiz.de/10010210164
Saved in:
9
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
10
Metrization of stochastic dominance rules
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009624503
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