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Bayesian Tail Risk Forecasting...
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1
The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
Saved in:
2
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
Saved in:
3
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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4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Are news important to predict the Value-at-Risk?
Bernardi, Mauro
;
Catania, Leopoldo
;
Petrella, Lea
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 535-572
Persistent link: https://www.econbiz.de/10011736300
Saved in:
8
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
Saved in:
9
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
10
Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Kaplanski, Guy
;
Levy, Haim
- In:
The European journal of finance
21
(
2015
)
1/3
,
pp. 215-241
Persistent link: https://www.econbiz.de/10010519956
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