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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya; Chlebus, Marcin - 2020
Persistent link: https://www.econbiz.de/10012322189
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Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322235
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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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
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy economics 38 (2013), pp. 64-76
Persistent link: https://www.econbiz.de/10009763643
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Downside risk and the energy hedger's horizon
Conlon, Thomas; Cotter, John - In: Energy economics 36 (2013), pp. 371-379
Persistent link: https://www.econbiz.de/10009724683
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Managing the financial risks of electricity producers using options
Pineda, Salva; Conejo, Antonio J. - In: Energy economics 34 (2012) 6, pp. 2216-2227
Persistent link: https://www.econbiz.de/10009688763
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Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach
Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110
Persistent link: https://www.econbiz.de/10011564809