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Risk analysis of cumulative intraday return curves

Kokoszka, Piotr; Miao, Hong; Stoev, Stilian; Zheng, Ben - In: Journal of time series econometrics 11 (2019) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012022894

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis allows us to use the information of basically the...

Persistent link: https://www.econbiz.de/10011890808

A robust approach based on conditional value-at-risk measure to statistical learning problems

Takeda, Akiko; Kanamori, Takafumi - In: European journal of operational research : EJOR 198 (2009) 1, pp. 287-296

Persistent link: https://www.econbiz.de/10003853605

Dynamic risk measures

Acciaio, Beatrice; Penner, Irina - In: Advanced mathematical methods for finance, (pp. 1-34). 2011

Persistent link: https://www.econbiz.de/10008991346

Expected shortfall estimation and Gaussian inference for infinite variance time series

Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10010519664

Robust conditional variance and value-at-risk estimation

Dupuis, Debbie J.; Papageorgiou, Nicolas A.; … - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 896-921

Persistent link: https://www.econbiz.de/10011417831

Tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof S.; Hertog, Dirk den; Melenberg, Bertrand - 2014

Persistent link: https://www.econbiz.de/10011282869

A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty

Sun, Hua; Gao, Ziyou; Szeto, Wai Yuen; Long, Jiancheng; … - In: Networks and spatial economics : a journal of … 14 (2014) 3/4, pp. 409-433

Persistent link: https://www.econbiz.de/10011308772

Computationally tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof Stanisław; Hertog, Dirk den; … - 2015 - Revised version of CentER Discussion Paper No. 2014-031

Persistent link: https://www.econbiz.de/10011348902

Worst-case value at risk on nonlinear portfolios

Zymler, Steve; Kuhn, Daniel; Rustem, Berç - In: Management science : journal of the Institute for … 59 (2013) 1, pp. 172-188

Persistent link: https://www.econbiz.de/10009711767

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