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On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
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Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256
Persistent link: https://www.econbiz.de/10010421851
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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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Stress-testing for portfolios of commodity futures
Paraschiv, Florentina; Mudry, Pierre-Antoine; Andrieş, … - In: Economic modelling 50 (2015), pp. 9-18
Persistent link: https://www.econbiz.de/10011439604
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Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre; Maurer, Frantz - In: Economic modelling 67 (2017), pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Mixed data sampling expectile regression with applications to measuring financial risk
Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486
Persistent link: https://www.econbiz.de/10012429122
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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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A portfolio-invariant capital allocation scheme penalizing concentration risk
Kao, Lie Jane - In: Economic modelling 51 (2015), pp. 560-570
Persistent link: https://www.econbiz.de/10011476155
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Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan; Bai, Manying; Han, Yingwei - In: Economic modelling 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012795788