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Optimal portfolio selection based on expected shortfall under Generalized Hyperbolic distribution
Budhi Arta Surya; Kurniawan, Ryan - In: Asia-Pacific financial markets 21 (2014) 3, pp. 193-236
Persistent link: https://www.econbiz.de/10010511588
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Modeling a distribution of mortgage credit losses
Gapko, Petr; Šmíd, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 60 (2012) 10, pp. 1005-1023
Persistent link: https://www.econbiz.de/10010372802
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Modeling manager confidence in forecasted excess returns under active portfolio management
Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365
Persistent link: https://www.econbiz.de/10010476259
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Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
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Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.; Chávez-Bedoya, Luis - In: Quantitative finance 21 (2021) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
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Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
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Prediction, risk assessment and comparison of selected emerging markets' stock indices during covid-19 pandemic using the coherent measure : comparing selected emerging markets' st...
Das, Prabir Kumar; Das, Anarghya - In: The journal of prediction markets 16 (2022) 3, pp. 81-97
Persistent link: https://www.econbiz.de/10014290506
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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph - In: Journal of mathematical finance 5 (2015) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
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Modeling financial sector joint tail risk in the euro area
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015
We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...
Persistent link: https://www.econbiz.de/10011332950