Similar Search Results

Long vs. short term asymmetry in volatility and the term structure of risk

Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209

Persistent link: https://www.econbiz.de/10011808396

Essentials of Investment and Risk Analysis : Theory and Applications

Busu, Mihail - 2022

Theory -- 7. Derivatives -- 8. Summary Problems. …, including the time value of money, financial markets, equity markets, bond markets, and portfolio theory. Accordingly, it offers …

Persistent link: https://www.econbiz.de/10013386124

"Performance and effects of linear feedback stock trading strategies"

Baumann, Michael - 2018

Persistent link: https://www.econbiz.de/10012153001

Market consistent valuations with financial imperfection

Assa, Hirbod; Gospodinov, Nikolaj - In: Decisions in economics and finance : DEF ; a journal of … 41 (2018) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10011997028

Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142