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Testing for independence in multivariate duration models

Söderberg, Hans; Lyhagen, Johan - 1999

Persistent link: https://www.econbiz.de/10001393363

Spectral measures of risk for international futures markets : a comparison of extreme value and Lévy models

Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Global finance journal 37 (2018), pp. 248-261

Persistent link: https://www.econbiz.de/10012125354

Currency risk : comovements and intraday cojumps

Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76

Persistent link: https://www.econbiz.de/10011592734

Exploring the sources of uncertainty : why does bagging for time series forecasting work?

Petropoulos, Fotios; Hyndman, Rob J.; Bergmeir, Christoph - In: European journal of operational research : EJOR 268 (2018) 2, pp. 545-554

Persistent link: https://www.econbiz.de/10011852628

Determining risk model confidence sets

Cummins, Mark; Dowling, Michael; Esposito, Francesco - In: Finance research letters 22 (2017), pp. 169-174

Persistent link: https://www.econbiz.de/10011808131

Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk

Yang, Bowen; Li, Jackie; Balasooriya, Uditha - In: Insurance / Mathematics & economics 62 (2015), pp. 16-27

Persistent link: https://www.econbiz.de/10011312091

On the volatility of measures of financial risk : an investigation using returns from European markets

Eftekhari, Babak; Pedersen, Christian S.; Satchell, Stephen - In: The European journal of finance 6 (2000) 1, pp. 18-38

Persistent link: https://www.econbiz.de/10001526025

Portfolio management with semi-parametric bootstrapping

Mendes, Beatriz Vaz de Melo; Leal, Ricardo Pereira Câmara - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 174-183

Persistent link: https://www.econbiz.de/10003963539

The importance of estimation uncertainty in a multi-rating class loan portfolio

Dannenberg, Henry - 2011

This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...

Persistent link: https://www.econbiz.de/10009348119

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

Loisel, Stéphane; Mazza, Christian; Rullière, Didier - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 374-381

Persistent link: https://www.econbiz.de/10009517556

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