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On the accuracy of VaR estimates based on the variance-covariance approach
Dave, Rakhal D. - In: Risk measurement, econometrics and neural networks : …, (pp. 189-232). 1998
Persistent link: https://www.econbiz.de/10001305354
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Essays on investement and consumption choice
Comon, Etienne - 2001
Persistent link: https://www.econbiz.de/10001717923
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International mutual funds stability and benefits of diversification
Essayyad, Musa - In: Economia internazionale 47 (1994) 2, pp. 139-159
Persistent link: https://www.econbiz.de/10001175914
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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
Persistent link: https://www.econbiz.de/10014282051
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An empirical evaluation of estimation error reduction strategies applied to international diversification
McDowell, Shaun - In: Journal of multinational financial management 44 (2018), pp. 1-13
Persistent link: https://www.econbiz.de/10012055758
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On the Accuracy of VAR Estimates Based on the Variance-Covariance Approach
Dave, Rakhal; Stahl, Gerhard - 1998
) implied covariance forecasting. Finally, we highlight the important issue of the estimation error of the co-variance matrix in …
Persistent link: https://www.econbiz.de/10014113253
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Optimal portfolio allocation between global stock indexes and safe haven assets : gold versus the Swiss Franc : 1999-2021
Tronzano, Marco - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-24
This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc's defensive … notably higher than that of gold-hedged portfolios. Value-at-Risk simulations, assuming equal or "optimal" portfolio weights …
Persistent link: https://www.econbiz.de/10013273582
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Essays in international economics and finance
Reidel, Demian Axel - 2006
Persistent link: https://www.econbiz.de/10003965691