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Approximating value at risk in conditional Gaussian models
Jaschke, Stefan R.; Jiang, Yuze - In: Applied quantitative finance : theory and computational …, (pp. 3-33). 2002
Persistent link: https://www.econbiz.de/10001749949
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Applications of copulas for the calculation of Value-at-Risk
Rank, Jörn; Siegl, Thomas - In: Applied quantitative finance : theory and computational …, (pp. 35-50). 2002
Persistent link: https://www.econbiz.de/10001749959
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Quantification of spread risk by means of historical simulation
Frisch, Christoph; Knöchlein, Germar - In: Applied quantitative finance : theory and computational …, (pp. 51-83). 2002
Persistent link: https://www.econbiz.de/10001749973
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - In: Applied quantitative finance : theory and computational …, (pp. 221-236). 2002
Persistent link: https://www.econbiz.de/10001749997
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A simple state space model of house prices
Schulz, Rainer; Werwatz, Axel - In: Applied quantitative finance : theory and computational …, (pp. 283-307). 2002
Persistent link: https://www.econbiz.de/10001750007