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Portfolio Performance Measurement: a No Arbitrage Bounds Approach
Ahn, Dong-Hyun; Cao, H.Henry; Chrétien, Stéphane - In: European financial management : the journal of the … 15 (2009) 2, pp. 298-339
Persistent link: https://www.econbiz.de/10008211531
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Performance and conservatism of monthly FHS VaR: An international investigation
Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-334
Persistent link: https://www.econbiz.de/10008734945
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Bounds on the autocorrelation of admissible stochastic discount factors
Chrétien, Stéphane - In: Journal of banking & finance 36 (2012) 7, pp. 1943-1963
Persistent link: https://www.econbiz.de/10009972359
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Space alternating penalized Kullback proximal point algorithms for maximizing likelihood with nondifferentiable penalty
Chrétien, Stéphane; Hero, Alfred; Perdry, Hervé - In: Annals of the Institute of Statistical Mathematics : AISM 64 (2012) 4, pp. 791-810
Persistent link: https://www.econbiz.de/10009977672
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La performance et le conservatisme de modèles VAR mensuelle
Chrétien, Stéphane; Coggins, Frank; Gallant, Paul - In: Assurances et gestion des risques : revue trimestrielle 76 (2008) 2, pp. 169-202
Persistent link: https://www.econbiz.de/10010079254
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Performance of monthly multivariate filtered historical simulation value-at-risk
Chrétien, Stéphane; Coggins, Frank; Trudel, Yves - In: Journal of risk management in financial institutions 3 (2009/10) 3, pp. 259-277
Persistent link: https://www.econbiz.de/10009883670