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Higher moment coherent risk measures
Krokhmal, Pavlo A. - In: Quantitative fund management, (pp. 271-298). 2009
Persistent link: https://www.econbiz.de/10003796963
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Risk-based Momentum
Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu - 2022
Based on intraday data for a large cross section of individual stocks, we find that the risk component of stock returns exhibits strong intraday momentum, and this pattern holds from previous market close to 10:00, and every half hour since then until market close at 16:00. Strikingly, the...
Persistent link: https://www.econbiz.de/10013295372
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Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi; Ryan, Sarah M. - In: IMA journal of management mathematics 34 (2023) 2, pp. 355-381
Persistent link: https://www.econbiz.de/10014313747
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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Estimation of value-at-risk and expected shortfall based on nonlinear extreme value theory
Martins-Filho, Carlos (contributor); Yao, Feng (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10003558963
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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Modeling financial time series with S-PLUS
Zivot, Eric; Wang, Jiahui - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10003055672
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Sensitivity analysis of values at risk
Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245
Persistent link: https://www.econbiz.de/10001557715