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1
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
2
Optimal positioning in financial derivatives under mixture distributions
Hentati-Kaffel, R.
;
Prigent, Jean-Luc
- In:
Economic modelling
52
(
2016
),
pp. 115-124
Persistent link: https://www.econbiz.de/10011645569
Saved in:
3
Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi
;
Koivusalo, Alexander F. R.
- In:
Economic modelling
30
(
2013
),
pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
Saved in:
4
A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun
;
Liu, Guifang
;
Li, Hongyi
- In:
Economic modelling
59
(
2016
),
pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
Saved in:
5
Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP
Ahamada, Ibrahim
;
Jolivaldt, Philippe
- In:
Economic modelling
31
(
2013
),
pp. 460-466
Persistent link: https://www.econbiz.de/10009730816
Saved in:
6
Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M.
- In:
Economic modelling
50
(
2015
),
pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
Saved in:
7
Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
; …
- In:
Economic modelling
42
(
2014
),
pp. 15-19
Persistent link: https://www.econbiz.de/10010478302
Saved in:
8
Extremes, return level and identification of currency crises
Qin, Xiao
;
Liu, Liya
- In:
Economic modelling
37
(
2014
),
pp. 439-450
Persistent link: https://www.econbiz.de/10010417634
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9
A two-regime threshold model with conditional skewed Student t distributions for stock returns
Massacci, Daniele
- In:
Economic modelling
43
(
2014
),
pp. 9-20
Persistent link: https://www.econbiz.de/10010500997
Saved in:
10
Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Xie, Wen-jie
;
Jiang, Zhi-qiang
;
Zhou, Wei-xing
- In:
Economic modelling
36
(
2014
),
pp. 8-17
Persistent link: https://www.econbiz.de/10010412098
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