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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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Portfolio optimization through Kriging methods
Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905
Persistent link: https://www.econbiz.de/10011641047
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Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350
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A residual bootstrap for conditional Value-at-Risk
Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan - In: Journal of econometrics 238 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015073889
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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Optimal hedge ratio under a subjective re-weighting of the original measure
Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280
Persistent link: https://www.econbiz.de/10011433130
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A semi-parametric approach to estimating the operational risk and Expected Shortfall
Tursunalieva, Ainura; Silvapulle, Paramsothy - In: Applied economics 46 (2014) 28/30, pp. 3659-3672
Persistent link: https://www.econbiz.de/10010419979
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643