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Asymmetric dependence implications for extreme risk management

Tsafack, Georges - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 7-20

Persistent link: https://www.econbiz.de/10003892313

Proper conditioning for coherent VaR in portfolio management

Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494

Persistent link: https://www.econbiz.de/10003451621

Backtesting and estimation error : value-at-risk overviolation rate

Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396

Persistent link: https://www.econbiz.de/10012616952

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

Analytical value-at-risk and expected shortfall under regime switching

Taamouti, Abderrahim - 2009

Persistent link: https://www.econbiz.de/10003972447

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

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

Persistent link: https://www.econbiz.de/10011554962

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 20-33

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation...

Persistent link: https://www.econbiz.de/10011056573