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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

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2010

Persistent link: https://www.econbiz.de/10008689075

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

Model selection and testing of conditional and stochastic volatility models

Caporin, Massimiliano; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008695598

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

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009562985

Modelling and forecasting noisy realized volatility

Asai, Manuabu; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008669930

Modelling asymmetric dependence using copula functions : an application to value-at-risk in the energy sector

Bastianin, Andrea - 2009

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the...

Persistent link: https://www.econbiz.de/10008810287

Regulatory medicine against financial market instability : what helps and what hurts

Kerbl, Stefan - 2011

Persistent link: https://www.econbiz.de/10009385145

Banking leverage procyclicality : a theoretical model introducing currency diversification

Pedrono, Justine - 2017

Persistent link: https://www.econbiz.de/10011745493