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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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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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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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Variance-Gamma and Normal-Inverse Gaussian models : goodness-of-fit to Chinese high-frequency index returns
Göncü, Ahmet; Yang, Hao - In: The North American journal of economics and finance : a … 36 (2016), pp. 279-292
Persistent link: https://www.econbiz.de/10011672682
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What is the best Lévy model for stock indices? : a comparative study with a view to time consistency
Massing, Till Philipp Georg - In: Financial markets and portfolio management 33 (2019) 3, pp. 277-344
Persistent link: https://www.econbiz.de/10012427796
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GARCH model and fat tails of the Chinese stock market returns : new evidences
Day, Michael; Diamond, Mark; Card, Jeff; Hurd, Jake; … - In: Journal of risk & control 4 (2017) 1, pp. 43-49
Persistent link: https://www.econbiz.de/10012236806
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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