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Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
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Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
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Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
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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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Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
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Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George; Maurer, Frantz - In: Computational economics 62 (2023) 3, pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
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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