Similar Search Results

Frontiers in VaR forecasting and backtesting

Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501

Persistent link: https://www.econbiz.de/10011597163

Inf-convolution and optimal allocations for mixed-VaRs

Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong - In: Insurance / Mathematics & economics 108 (2023), pp. 156-164

Persistent link: https://www.econbiz.de/10013534516

Risky risk measures : a note on underestimating financial risk under the normal assumption

Goodfellow, Christiane; Salm, Christian - In: Copernican Journal of Finance & Accounting : CJF&A 5 (2016) 2, pp. 85-108

Persistent link: https://www.econbiz.de/10012216155

Selection of the right risk measures for portfolio allocation

Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156

Persistent link: https://www.econbiz.de/10010531305

A robust set-valued scenario approach for handling modeling risk in portfolio optimization

Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40

Persistent link: https://www.econbiz.de/10011480704

Tail risks, asset prices, and investment horizons

Baruník, Jozef; Nevrla, Matěj - 2019

frequency decomposition of covariance between indicator functions, we define the quantile cross-spectral beta of an asset …-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market …

Persistent link: https://www.econbiz.de/10012009758