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Fabozzi, Frank J.
131
Maurer, Raimond
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Platen, Eckhard
59
Gollier, Christian
55
Guidolin, Massimo
50
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49
Korn, Ralf
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Kane, Alex
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Muhle-Karbe, Johannes
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Pedersen, Lasse Heje
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Sass, Jörn
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Wang, Ruodu
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Albrecht, Peter
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Bernard, Carole
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Branger, Nicole
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National Bureau of Economic Research
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Center for Economic Research <Tilburg>
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Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
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Springer Fachmedien Wiesbaden
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Universität Zürich / Institut für Schweizerisches Bankwesen
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European University Institute / Department of Law
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International Center for Financial Asset Management and Engineering
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Rodney L. White Center for Financial Research
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Association of European Operational Research Societies / Working Group on Financial Modelling
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Bank für Internationalen Zahlungsausgleich
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Basel Committee on Banking Supervision
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The review of financial studies
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Swiss Finance Institute Research Paper
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Economic modelling
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International review of financial analysis
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International review of economics & finance : IREF
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Discussion paper / Centre for Economic Policy Research
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The North American journal of economics and finance : a journal of financial economics studies
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Economics letters
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Annals of finance
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ECONIS (ZBW)
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OLC EcoSci
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1
Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen
;
Huang, Hong-Chih
- In:
Astin bulletin : the journal of the International …
47
(
2017
)
2
,
pp. 501-525
Persistent link: https://www.econbiz.de/10011729607
Saved in:
2
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
3
Joint tails impact in stochastic
volatility
portfolio selection models
Bonomelli, Marco
;
Giacometti, Rosella
;
Ortobelli Lozza, …
- In:
Stochastic optimization: theory and applications
,
(pp. 833-848)
.
2020
Persistent link: https://www.econbiz.de/10012290845
Saved in:
4
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2021
Persistent link: https://www.econbiz.de/10013339035
Saved in:
5
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
6
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2020
Persistent link: https://www.econbiz.de/10013335000
Saved in:
7
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
8
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
Saved in:
9
Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
Saved in:
10
Asset allocation with a high dimensional latent factor stochastic
volatility
model
Han, Yufeng
- In:
The review of financial studies
19
(
2006
)
1
,
pp. 237-271
Persistent link: https://www.econbiz.de/10003325179
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