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Journal of risk
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ECONIS (ZBW)
46
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1
A conditional approach for risk estimation
Mendes, Beatriz Vaz de Melo
- In:
Journal of risk
11
(
2008/09
)
1
,
pp. 33-55
Persistent link: https://www.econbiz.de/10003775645
Saved in:
2
Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris
;
Peterson, Brian
;
Croux, Christophe
- In:
Journal of risk
11
(
2008/09
)
2
,
pp. 79-103
Persistent link: https://www.econbiz.de/10003809417
Saved in:
3
Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model
Kang, Long
;
Babbs, Simon H.
- In:
Journal of risk
14
(
2011/12
)
4
,
pp. 35-63
Persistent link: https://www.econbiz.de/10009571597
Saved in:
4
Accounting for nonnormality in liquidity risk
Ernst, Cornelia
;
Stange, Sebastian
;
Kaserer, Christoph
- In:
Journal of risk
14
(
2011/12
)
3
,
pp. 3-21
Persistent link: https://www.econbiz.de/10009531011
Saved in:
5
Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina
;
Memmel, Christoph
;
Schmidt, Rafael
- In:
Journal of risk
14
(
2011/12
)
1
,
pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
Saved in:
6
Asset allocation with conditional value-at-risk budgets
Boudt, Kris
;
Carl, Peter
;
Peterson, Brian G.
- In:
Journal of risk
15
(
2012/13
)
3
,
pp. 39-68
Persistent link: https://www.econbiz.de/10009732840
Saved in:
7
Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng
;
Martin, Doug
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 29-67
Persistent link: https://www.econbiz.de/10011438893
Saved in:
8
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
Saved in:
9
A value-at-risk analysis of credit default swaps
Raunig, Burkhard
;
Scheicher, Martin
- In:
Journal of risk
13
(
2010/11
)
4
,
pp. 3-29
Persistent link: https://www.econbiz.de/10009233507
Saved in:
10
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
Liu, Jia
- In:
Journal of risk
24
(
2021
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012816791
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