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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
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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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A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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A study on equity home bias using vine copula approach
Garg, Jyoti; Karmakar, Madhusudan; Paul, Samit - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014246917
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
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Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks
Hammoudeh, Shawkat; Santos, Paulo Araújo; Al-Hassan, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 318-334
Persistent link: https://www.econbiz.de/10009779210
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962