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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509
Persistent link: https://www.econbiz.de/10011564922
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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Selection of value at risk models for energy commodities
Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10011376286
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European market portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
opimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative effectiveness of …
Persistent link: https://www.econbiz.de/10010414201
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Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors
Broda, Simon A. - 2013
Persistent link: https://www.econbiz.de/10010191435
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Backtesting Value-at-Risk and expected shortfall in the presence of estimation error
Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019
application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …
Persistent link: https://www.econbiz.de/10012057163