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How fat are the tails of equity market indices?
Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
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Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
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Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
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Model risk
Dowd, Kevin - 2008
Persistent link: https://www.econbiz.de/10003765457
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Yield curve risk measures
Fabozzi, Frank J.; Mann, Steven V. - 2008
Persistent link: https://www.econbiz.de/10003765477
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario - In: Journal of financial services research : JFSR 49 (2016) 1, pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - In: Journal of banking & finance 29 (2005) 4, pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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Extreme measures of agricultural financial risk
Morgan, C. W.; Cotter, John; Dowd, Kevin - In: Journal of agricultural economics 63 (2012) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10009504666
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Qualitative dimensions in finance and risk management research
Dowd, Kevin - In: The real life guide to accounting research : a behind …, (pp. 509-523). 2008
Persistent link: https://www.econbiz.de/10003848951