capital markets, for both risk management and portfolio selection purposes. Researchers frequently use co-integration and … investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating portfolio market risk …, this study employs Value-at-Risk with delta-normal approach. The results show whether fund managers would be able to …

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk … management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of … such a risk estimator for large portfolios is largely unknown, and a simple inequality in the previous literature gives an …

Tail hedging is a portfolio management strategy meant to reduce the risk of large losses. For an investor who holds a …

This paper studies the particularities of portfolio selection on the Romanian stock market using the risk …

, ten countries from most risk and another ten countries from least risk countries. The multivariate multiple regressions …

transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully …

interests of loans, and to strengthen credit risk management in order to minimize the credit risk. …