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A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun; Jang, Hyun Jin; Choe, Geon Ho - In: Applied economics letters 27 (2020) 15, pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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Portfolio revision under mean-variance and mean-CVaR with transaction costs
Chen, Andrew H.; Fabozzi, Frank J.; Huang, Dashan - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 509-526
Persistent link: https://www.econbiz.de/10009690387
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Returns transmission, value at risk, and diversification benefits in international REITs : evidence from the financial crisis
Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of quantitative finance and accounting 40 (2013) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10009708114
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Tail risk in pension funds : an analysis using ARCH models and bilinear processes
Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331
Persistent link: https://www.econbiz.de/10010490407
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Alternative statistical distributions for estimating value-at-risk : theory and evidence
Lee, Cheng F.; Su, Jung-bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331
Persistent link: https://www.econbiz.de/10009673712
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An analysis of risk-based asset allocation and portfolio insurance strategies
Ho, Lan-chih; Cadle, John; Theobald, Michael - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10009272505
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Histogram-valued data on value at risk measures : a symbolic approach for risk attribution
Toque, Carole; Terraza, Virginie - In: Applied economics letters 21 (2014) 16/18, pp. 1243-1251
Persistent link: https://www.econbiz.de/10010465633
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Optimal liquidity reserve with funding liquidity risk
Zhang, Dewei; Wu, Chongfeng; Zhou, Chunyang - In: Applied economics letters 20 (2013) 16/18, pp. 1449-1452
Persistent link: https://www.econbiz.de/10010212382
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An alternative Z-score measure for downside bank insolvency risk
Lepetit, Lætitia; Strobel, Frank; Tran Thu Ha - In: Applied economics letters 28 (2021) 2, pp. 137-142
Persistent link: https://www.econbiz.de/10012415101