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Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model
Lin, Saiyan; Chen, Rongda; Lv, Zhihong; Zhou, Tianqing; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012202884
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Portfolio revision under mean-variance and mean-CVaR with transaction costs
Chen, Andrew H.; Fabozzi, Frank J.; Huang, Dashan - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 509-526
Persistent link: https://www.econbiz.de/10009690387
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Returns transmission, value at risk, and diversification benefits in international REITs : evidence from the financial crisis
Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of quantitative finance and accounting 40 (2013) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10009708114
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Stress testing correlation matrices for risk management
So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322
Persistent link: https://www.econbiz.de/10010365763
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Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: The North American journal of economics and finance : a … 26 (2013), pp. 250-265
Persistent link: https://www.econbiz.de/10010365769
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High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
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Policy interest rate, loan portfolio management and bank liquidity
Giulioni, Gianfranco - In: The North American journal of economics and finance : a … 31 (2015), pp. 52-74
Persistent link: https://www.econbiz.de/10011511050
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Tail risk in pension funds : an analysis using ARCH models and bilinear processes
Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331
Persistent link: https://www.econbiz.de/10010490407
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Alternative statistical distributions for estimating value-at-risk : theory and evidence
Lee, Cheng F.; Su, Jung-bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331
Persistent link: https://www.econbiz.de/10009673712
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An analysis of risk-based asset allocation and portfolio insurance strategies
Ho, Lan-chih; Cadle, John; Theobald, Michael - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10009272505