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Optimal and investable portfolios : an empirical analysis with scenario optimization algorithms under crisis market prospects
Janabi, Mazin A. M. al - In: Economic modelling 40 (2014), pp. 369-381
Persistent link: https://www.econbiz.de/10010425591
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International risk transmission of stock market movements
Shen, Yifan - In: Economic modelling 69 (2018), pp. 220-236
Persistent link: https://www.econbiz.de/10012016158
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Extreme risk spillovers across financial markets under different crises
Cao, Yufei - In: Economic modelling 116 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014512465
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Robust analysis for downside risk in portfolio management for a volatile stock market
Ayub, Usman; Ali Shah, Syed Zulfiqar; Abbas, Qaisar - In: Economic modelling 44 (2015), pp. 86-96
Persistent link: https://www.econbiz.de/10011326281
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Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady; Satchkov, Daniel - In: The journal of risk model validation 4 (2010/11) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10008699880
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Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam - In: The journal of risk model validation 9 (2015) 2, pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
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Testing for Granger causality in distribution tails : an application to oil markets integration
Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285
Persistent link: https://www.econbiz.de/10009729103