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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Estimating risk on the capital market with VaR method
Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 165-175
The two basic questions that every investor tries to answer before investment are questions about predicting return and risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected increase of return to compensate the higher risk. The...
Persistent link: https://www.econbiz.de/10011299237
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Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67
Persistent link: https://www.econbiz.de/10011438893
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Efficient estimation of risk preferences
Wu, Feng; Guan, Zhengfei - In: American journal of agricultural economics 100 (2018) 4, pp. 1172-1185
Persistent link: https://www.econbiz.de/10011959849
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Interest rate risk of banking accounts : measurement using the VaR framework
Kiyama, Yoshinao (contributor) - In: Monetary and economic studies 16 (1998) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001241553
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Long-run risks in the term structure of interest rates : estimation
Doh, Taeyoung - In: Journal of applied econometrics 28 (2013) 3, pp. 478-497
Persistent link: https://www.econbiz.de/10009756493
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Model and survey estimates of the term structure of US macroeconomic uncertainty
Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 33 (2017) 3, pp. 591-604
Persistent link: https://www.econbiz.de/10011746192
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Models for estimating the structure of interest rates from observations of yield curves
Kortanek, K. O.; Medvedev, V. G. - 1999
Persistent link: https://www.econbiz.de/10001491259
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A nonlinear expectations model of the term structure of interest rates with time-varying risk premia
Lee, Bong-soo - In: Journal of money, credit and banking : JMCB 21 (1989) 3, pp. 348-367
Persistent link: https://www.econbiz.de/10001074068
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On the use of trade-to-trade returns for risk estimation in thin security markets : a note
Berglund, Tom - 1984
Persistent link: https://www.econbiz.de/10000534283