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Value at risk under dependence and heavy tariledness : models with comon shocks
Ibragimov, Rustam Ju. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003712614
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Value at risk and efficiency under dependence and heavy-tailedness : models with common shocks
Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 7 (2011) 3, pp. 285-318
Persistent link: https://www.econbiz.de/10009248124
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Risk premia, volatilities, and sharpe ratios in a nonlinear term structure model
Feldhütter, Peter; Heyerdahl-Larsen, Christian; … - 2013
Persistent link: https://www.econbiz.de/10010484458
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Portfolio diversification under local, moderate and global deviations from power laws
Ibragimov, Rustam (contributor); Walden, Johan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003304435
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The limits of diversification when losses may be large
Ibragimov, Rustam; Walden, Johan - In: Journal of banking & finance 31 (2007) 8, pp. 2551-2569
Persistent link: https://www.econbiz.de/10003522982
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The limits of diversification when losses may be large
Ibragimov, Rustam (contributor); Walden, Johan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003270224