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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
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Analytical value-at-risk and expected shortfall under regime switching
Taamouti, Abderrahim - 2009
Persistent link: https://www.econbiz.de/10003972447
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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
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
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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
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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