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~subject:"Risikomaß"
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Risikomaß
Volatility
21
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Taamouti, Abderrahim
6
Tsafack, Georges
2
Afonso, António
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Bouaddi, Mohammed
1
Cataldo, James M.
1
Doukali, Mohamed
1
Garcia, René
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Lin, Weidong
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance research letters
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International journal of forecasting
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Oxford bulletin of economics and statistics
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ECONIS (ZBW)
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1
Proper conditioning for coherent VaR in portfolio management
Garcia, René
;
Renault, Éric
;
Tsafack, Georges
- In:
Management science : journal of the Institute for …
53
(
2007
)
3
,
pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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2
Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges
;
Cataldo, James M.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
3
,
pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
Saved in:
3
Analytical Value-at-Risk and Expected Shortfall under regime-switching
Taamouti, Abderrahim
- In:
Finance research letters
6
(
2009
)
3
,
pp. 138-151
Persistent link: https://www.econbiz.de/10003888009
Saved in:
4
Analytical value-at-risk and expected shortfall under regime switching
Taamouti, Abderrahim
-
2009
Persistent link: https://www.econbiz.de/10003972447
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5
Portfolio risk management in a data-rich environment
Bouaddi, Mohammed
;
Taamouti, Abderrahim
- In:
Financial markets and portfolio management
26
(
2012
)
4
,
pp. 469-494
Persistent link: https://www.econbiz.de/10009667499
Saved in:
6
Sovereign credit ratings, market volatility, and financial gains
Afonso, António
;
Gomes, Pedro
;
Taamouti, Abderrahim
-
2014
Persistent link: https://www.econbiz.de/10011554962
Saved in:
7
Value-at-risk under measurement error
Doukali, Mohamed
;
Song, Xiaojun
;
Taamouti, Abderrahim
- In:
Oxford bulletin of economics and statistics
86
(
2024
)
3
,
pp. 690-713
Persistent link: https://www.econbiz.de/10014543504
Saved in:
8
Portfolio selection under non-gaussianity and systemic risk : a machine learning based forecasting approach
Lin, Weidong
;
Taamouti, Abderrahim
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 1179-1188
Persistent link: https://www.econbiz.de/10014547268
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