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The mismeasure of man's well-being: refining realized income measures with wealth, portfolio, and mortality information

Johnson, Barry; Bourne, Jenny - In: Proceedings / 97th Annual Conference on Taxation : …, (pp. 111-119). 2005

Persistent link: https://www.econbiz.de/10003307324

Modelling and calibration errors in measures of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - 2007

small-sample estimation errors or popular rule-of-thumb values of asset return correlations, can lead to significant …

Persistent link: https://www.econbiz.de/10003512271

Modelling, estimation and visualization of multivariate dependence for high-frequency data

Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010

Persistent link: https://www.econbiz.de/10003964488

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434

Persistent link: https://www.econbiz.de/10011298962

The impact of highter order moments added to the multiscale Carhart model for different investment periods

Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276

Persistent link: https://www.econbiz.de/10011347007

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

A portfolio theory of defaultable bonds and its empirical validation

Schubert, Dirk A. - 2004

Persistent link: https://www.econbiz.de/10002212131

Modelling, estimation and visualization of multivariate dependence for risk management

Hsing, Tailen (contributor); … - 2004

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our …

Persistent link: https://www.econbiz.de/10002638723

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

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