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Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

Persistent link: https://www.econbiz.de/10011518800

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

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Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187

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Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376

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Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

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Chow, K. Victor; John, Kose; Li, Jingrui; Sopranzetti, … - In: Quantitative finance 23 (2023) 4, pp. 705-719

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Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

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Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

construct managed portfolios of a risk-free asset and market index. …

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Dimitriadis, Timo; Halbleib, Roxana - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES …

Persistent link: https://www.econbiz.de/10012317619

Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414

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