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~isPartOf:"Journal of banking & finance"
~person:"Alexander, Carol"
~person:"Gatzert, Nadine"
~subject:"Extreme value theory"
~subject:"Hedging"
~subject:"Market risk"
~subject:"Multivariate Verteilung"
~subject:"USA"
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Alexander, Carol
Gatzert, Nadine
Berger, Allen N.
4
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3
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2
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Journal of banking & finance
European journal of operational research : EJOR
2
Journal of economic behavior & organization : JEBO
1
The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association
1
The journal of risk finance : JRF
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ECONIS (ZBW)
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Developing a stress testing framework based on market risk models
Alexander, Carol
;
Sheedy, Elizabeth A.
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
Saved in:
2
Model-free hedge ratios and scale-invariant models
Alexander, Carol
;
Nogueira, Leonardo M.
- In:
Journal of banking & finance
31
(
2007
)
6
,
pp. 1839-1861
Persistent link: https://www.econbiz.de/10003483512
Saved in:
3
Estimating the basis risk of index-linked hedging strategies using multivariate extreme value
theory
Kellner, Ralf
;
Gatzert, Nadine
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034
Saved in:
4
Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas
;
Alexander, Carol
- In:
Journal of banking & finance
36
(
2012
)
11
,
pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
Saved in:
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