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Pitfalls and opportunities in the use of extreme value theory in risk management

Diebold, Francis X.; Schuermann, Til; Stroughair, John D. - 1998

Persistent link: https://www.econbiz.de/10000998135

How relevant is volatility forecasting for financial risk management?

Christoffersen, Peter F.; Diebold, Francis X. - 1998

Persistent link: https://www.econbiz.de/10001350963

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

Toward conditional risk parity : improving risk budgeting techniques in changing economic environments

Martellini, Lionel; Milhau, Vincent; Tarelli, Andrea - In: The journal of alternative investments 18 (2015/16) 1, pp. 48-64

Persistent link: https://www.econbiz.de/10011307950

Factor investing and risk allocation : from traditional to alternative risk premia harvesting

Maeso, Jean-Michel; Martellini, Lionel - In: The journal of alternative investments 20 (2017) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10011745094

Financial risk measurement and management

Diebold, Francis X. - 2012

'I have always thought authoritative lists such as "100 books you should read" are fascinating. So it is great to also have such a list available in one's professional field. Professor Diebold's book does just that; it compiles his list of academic research articles one should know in risk...