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From value at risk to stress testing : the extreme value approach
Longin, François M. - 1999
Persistent link: https://www.econbiz.de/10013422797
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An intertemporal CAPM with stochastic volatility
Campbell, John Y.; Giglio, Stefano; Polk, Christopher; … - 2015
Persistent link: https://www.econbiz.de/10011300980
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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2003
Persistent link: https://www.econbiz.de/10001748020
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Increased correlation in bear markets : a downside risk perspektive
Campbell, Rachel - 2002
Persistent link: https://www.econbiz.de/10013423764
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Idiosyncratic risk and volatility bounds, or, can models with idiosyncratic risk solve the equity premium puzzle?
Lettau, Martin - 1998
Persistent link: https://www.econbiz.de/10013422421
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Systemic risk and international portfolio choice
Das, Sanjiv R. - 2002
Persistent link: https://www.econbiz.de/10013423895
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Mean variance portfolio allocation with a value at risk constraint
Sentana, Enrique - 2001
Persistent link: https://www.econbiz.de/10013423602
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Term structure of risk under alternative econometric specifications
Guidolin, Massimo; Timmermann, Allan - 2004
Persistent link: https://www.econbiz.de/10002398866
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Risk return and portfolio allocation under alternative pension systems with imperfect financial markets
Miles, David - 2001
Persistent link: https://www.econbiz.de/10013423389
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An economic evaluation of empirical exchange rate models
Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - 2007
Persistent link: https://www.econbiz.de/10003618043