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GFC-robust risk management under the Basel Accord using extreme value methodologies
Santos, Paulo Araújo; Jiménez-Martín, Juan-Ángel; … - 2011
Persistent link: https://www.econbiz.de/10009413652
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GFC-robust risk management strategies under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695591
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Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2013
Persistent link: https://www.econbiz.de/10009711737
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Risk management of risk under the Basel Accord : a Bayesian approach to forecasting value-at-risk of VIX futures
Casarin, Roberto; Chang, Chia-Lin; Jiménez-Martín, … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009413659
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Risk management of risk under the Basel Accord : forecasting value-at-risk of VIX futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2011
Persistent link: https://www.econbiz.de/10009012209
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International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009012232
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Risk modeling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009771092
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The rise and fall of S&P 500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009413649
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009787937
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348324