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A note on portfolios of averages of lognormal variables
Boyle, Phelim P.; Jiang, Ruihong - In: Insurance / Mathematics & economics 112 (2023), pp. 97-109
Persistent link: https://www.econbiz.de/10014446731
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica (contributor); Gobbo, Michele (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003376752
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The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection
Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571
Persistent link: https://www.econbiz.de/10008736138
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Estimation of value-at-risk and expected shortfall based on nonlinear extreme value theory
Martins-Filho, Carlos (contributor); Yao, Feng (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10003558963
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Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Billio, Monica; Caporin, Massimiliano; Gobbo, Michele - In: Applied financial economics letters 2 (2006) 2, pp. 123-130
Persistent link: https://www.econbiz.de/10003302525
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
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Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43
Persistent link: https://www.econbiz.de/10010512185