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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
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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
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Dynamic optimal capital growth with risk constraints
Yong, Luo; Zhu, Bo; Yong, Tang - In: Economic modelling 30 (2013), pp. 586-594
Persistent link: https://www.econbiz.de/10009708829
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Dynamic mean-variance portfolio selection with liability and stochastic interest rate
Chang, Hao - In: Economic modelling 51 (2015), pp. 172-182
Persistent link: https://www.econbiz.de/10011475878
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Parameter identification in mixed Brownian-fractional Brownian motions using Powell's optimization algorithm
Zhang, Pu; Sun, Qi; Xiao, Wei-lin - In: Economic modelling 40 (2014), pp. 314-319
Persistent link: https://www.econbiz.de/10010425614
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Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Economic modelling 66 (2017), pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
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Applying the Model Order Reduction method to a European option pricing model
Lin, Shao-bin; Chen, Chun-Da - In: Economic modelling 33 (2013), pp. 533-536
Persistent link: https://www.econbiz.de/10010193332
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Solving dynamic stochastic models with multiple occasionally binding constraints
Guerra Vallejos, Ernesto; Bobenrieth Hochfarber, Eugenio; … - In: Economic modelling 105 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013367160
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When winter is over, its cold remains : early-life famine experience breeds risk aversion
Chen, Xiangpo; Hu, Xinyan; Xu, Jinhai - In: Economic modelling 123 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014462566
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Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
Su, Jung-bin - In: Economic modelling 46 (2015), pp. 204-224
Persistent link: https://www.econbiz.de/10011436595