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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
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Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Tavin, Bertrand - In: Journal of banking & finance 53 (2015), pp. 158-178
Persistent link: https://www.econbiz.de/10011377717
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A parametric alternative to the Hill estimator for heavy-tailed distributions
Kim, Joseph H. T.; Kim, Joocheol - In: Journal of banking & finance 54 (2015), pp. 60-71
Persistent link: https://www.econbiz.de/10011377782
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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Mixture pair-copula-constructions
Weiß, Gregor; Scheffer, Marcus - In: Journal of banking & finance 54 (2015), pp. 175-191
Persistent link: https://www.econbiz.de/10011377813
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The economic value of controlling for large losses in portfolio selection
Dias, Alexandra - In: Journal of banking & finance 72 (2016), pp. 81-91
Persistent link: https://www.econbiz.de/10011637057
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Disagreement versus uncertainty : evidence from distribution forecasts
Krüger, Fabian; Nolte, Ingmar - In: Journal of banking & finance 72 (2016), pp. 172-186
Persistent link: https://www.econbiz.de/10011637119
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
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Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408
Persistent link: https://www.econbiz.de/10010508674