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Partially adaptive econometric methods for regression and classification
Hansen, James V.; McDonald, James B.; Theodossiou, … - In: Computational economics 36 (2010) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10008796488
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Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - In: Computational economics 29 (2007) 3/4, pp. 333-354
Persistent link: https://www.econbiz.de/10003493814
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Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Baixauli, J. Samuel; Alvarez, Susana - In: Computational economics 40 (2012) 2, pp. 115-129
Persistent link: https://www.econbiz.de/10009627482
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Portfolio risk measures : the time's arrow matters
Ruttiens, Alain - In: Computational economics 41 (2013) 3, pp. 407-424
Persistent link: https://www.econbiz.de/10009711309
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Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Bank capital shock propagation via syndicated interconnectedness
Nirei, Makoto; Sushko, Vladyslav; Caballero, Julián - In: Computational economics 47 (2015) 1, pp. 67-96
Persistent link: https://www.econbiz.de/10011443423
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Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model
Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - In: Computational economics 44 (2014) 1, pp. 67-86
Persistent link: https://www.econbiz.de/10010396231
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Models and simulations for portfolio rebalancing
Guastaroba, Gianfranco; Mansini, Renata; Speranza, … - In: Computational economics 33 (2009) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10003828842
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Minimality of state space solutions of DSGE models and existence conditions for their VAR representation
Franchi, Massimo; Paruolo, Paolo - In: Computational economics 46 (2015) 4, pp. 613-626
Persistent link: https://www.econbiz.de/10011478892