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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …
Persistent link: https://www.econbiz.de/10010295895
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Relationship between major developed equity markets and major : frontier equity markets of world
Baig, Muhammad Mansoor; Bilal, Muhammad; Aslam, Waheed - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 1, pp. 182-196
Persistent link: https://www.econbiz.de/10011527086
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Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method
Alghalith, Moawia - In: Econometric reviews 35 (2016) 1/4, pp. 257-262
Persistent link: https://www.econbiz.de/10011549920
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An empirical investigation into the applicability of Fama-French Three Factor Model in explaining portfolio returns : evidence from non-financial firms on the Ghana stock exchange
Acheampong, Prince; Swanzy, Sydney Kwesi - In: International journal of financial research 7 (2016) 1, pp. 75-85
Persistent link: https://www.econbiz.de/10011560885
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Estimation of portfolio return and value at risk using a class of Gaussian mixture distributions
Tan, Kangrong; Chu, Meifen - In: The international journal of business and finance … 6 (2012) 2, pp. 97-107
Persistent link: https://www.econbiz.de/10009389668
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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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An application of panel ARDL model with cointegration for portfolio management
Ilyas, Umer; Butt, Matti Ullah; Gulzar, Muhammad - In: International journal of economics and business … 23 (2022) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013253476
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Empirical testing of arbitrage pricing theory in the Indian stock market : factor analysis approach
Menani, Shikha; Jhamb, H. V. - In: Business analyst : a refereed journal of Shri Ram … 40 (2019) 2, pp. 61-95
Persistent link: https://www.econbiz.de/10013177243
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Exponential high-frequency-based-volatility (EHEAVY) models
Xu, Yongdeng - 2022
. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in …
Persistent link: https://www.econbiz.de/10013177995