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Extreme weather events and high Colombian food prices : a non-stationary extreme value approach1
Melo-Velandia, Luis Fernando; Orozco-Vanegas, Camilo Andrés - In: Agricultural economics : the journal of the … 53 (2022), pp. 21-40
Persistent link: https://www.econbiz.de/10014288041
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Hedging effectiveness under conditions of asymmetry
Cotter, John; Hanly, Jim - In: The European journal of finance 18 (2012) 1/2, pp. 135-147
Persistent link: https://www.econbiz.de/10009565247
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Extended omega ratio optimization for risk-averse investors
Sharma, Amita; Mehra, Aparna - In: International transactions in operational research : … 24 (2017) 3, pp. 485-506
Persistent link: https://www.econbiz.de/10011724426
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Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach
Orlando, Albina; Parker, Gary - In: Journal of mathematical finance 8 (2018) 2, pp. 349-371
Persistent link: https://www.econbiz.de/10011874781
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Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17
This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive...
Persistent link: https://www.econbiz.de/10012137016
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GJR-Copula-CVaR model for portfolio optimization : evidence for emerging stock markets
Nikusokhan, Moien - In: Iranian economic review : journal of University of Tehran 22 (2018) 4, pp. 990-1015
Persistent link: https://www.econbiz.de/10012152394
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Risks from investing in open-ended mutual funds : impact of net asset value
Zebrowska-Suchodolska, Dorota - In: Montenegrin journal of economics 19 (2023) 4, pp. 19-29
Persistent link: https://www.econbiz.de/10014427890
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Karadžić, Vesna - In: Economic annals 60 (2015) 206, pp. 87-116
Persistent link: https://www.econbiz.de/10011421685
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095