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How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca - In: Journal of risk 19 (2016/2017) 4, pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
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Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
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Evaluating value-at-risk measures in the presence of long memory conditional volatility
Caporin, Massimiliano - In: Journal of risk 10 (2007/08) 3, pp. 79-110
Persistent link: https://www.econbiz.de/10003698909
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Hedging: scaling and the investor horizon
Cotter, John; Hanly, Jim - In: Journal of risk 12 (2009/10) 2, pp. 49-77
Persistent link: https://www.econbiz.de/10003924076
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Modeling a risk-based criterion for a portfolio with options
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of risk 16 (2013/14) 6, pp. 77-100
Persistent link: https://www.econbiz.de/10010476243
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Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Wu, Jun - In: Journal of risk 24 (2021) 1, pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Nonparametric forward-looking value-at-risk
Nossman, Marcus; Vilhelmsson, Anders - In: Journal of risk 16 (2013/2014) 4, pp. 103-123
Persistent link: https://www.econbiz.de/10013262928
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Volatility spillover along the supply chains : a network analysis on economic links
Berger, Theo; Gençay, Ramazan - In: Journal of risk 22 (2019/2020) 5, pp. 83-113
Persistent link: https://www.econbiz.de/10012421694
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Fund size and the stability of portfolio risk
Ewen, Martin; Rieger, Marc Oliver - In: Journal of risk 22 (2019/2020) 6, pp. 65-87
Persistent link: https://www.econbiz.de/10012421711