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Systematic equity-based credit risk : a CEV model with jump to default
Campi, Luciano; Polbennikov, Simon; Sbuelz, Alessandro - In: Journal of economic dynamics & control 33 (2009) 1, pp. 93-108
Persistent link: https://www.econbiz.de/10003810168
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On deposit volumes and the valuation of non-maturing liabilities
Nyström, Kaj - In: Journal of economic dynamics & control 32 (2008) 3, pp. 709-756
Persistent link: https://www.econbiz.de/10003687439
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Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 32 (2008) 3, pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
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Characterization of a risk sharing contract with one-sided commitment
Zhang, Yuzhe - In: Journal of economic dynamics & control 37 (2013) 4, pp. 794-809
Persistent link: https://www.econbiz.de/10009726177
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Does risk sharing increase with risk aversion and risk when commitment is limited?
Laczó, Sarolta - In: Journal of economic dynamics & control 46 (2014), pp. 237-251
Persistent link: https://www.econbiz.de/10010474917
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A practical multivariate approach to testing volatility spillover
Leong, Soon Heng; Urga, Giovanni - In: Journal of economic dynamics & control 153 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014479289
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A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu; Li, Lingfei - In: Journal of economic dynamics & control 152 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
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Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012504161
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Contagion accounting in stress-testing
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - In: Journal of economic dynamics & control 137 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013464710
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Evaluating an estimated new Keynesian small open economy model
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - In: Journal of economic dynamics & control 32 (2008) 8, pp. 2690-2721
Persistent link: https://www.econbiz.de/10003746481