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Dynamic copulas for finance : an application to portfolio risk calculation
Braun, Valentin - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009152690
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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Risk estimation on high frequency financial data : empirical analysis of the DAX 30
Jacob, Florian - 2015 - Aufl. 2015
Persistent link: https://www.econbiz.de/10010504710
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Verteilungsmodelle und Risikomaße für Minimalrenditen
Mihai, Mihnea-Stefan - 2005
Persistent link: https://www.econbiz.de/10002948930
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Volatility modelling and VaR : the case of Bitcoin, Ether and Ripple
Ječmínek, Jakub; Kukalová, Gabriela; Moravec, Lukáš - In: Danube : law and economics review 11 (2020) 3, pp. 253-269
Since Bitcoin introduction in 2008, the cryptocurrency market has grown into hundreds-of-billion-dollar market. The cryptocurrency market is well known as very volatile, mainly for the fact that the cryptocurrencies have not the price to fall back upon and that anybody can join the trading (no...
Persistent link: https://www.econbiz.de/10012309770
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The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective
Jacobs, Michael <Jr.> - In: International journal of bonds and derivatives 2 (2016) 2, pp. 152-182
Persistent link: https://www.econbiz.de/10011587544
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Cost of carry on steroids: application to oil futures pricing
Girard, Eric; Reid, Trevor - In: The international journal of business and finance … 4 (2010) 2, pp. 153-163
Persistent link: https://www.econbiz.de/10003958951
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Order flows and stock returns : compensation for market makers with inventory concerns
Kang, Moonsoo; Lee, Bong-soo - In: The financial review : the official publication of the … 49 (2014) 3, pp. 511-538
Persistent link: https://www.econbiz.de/10010401376