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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - 2015
Persistent link: https://www.econbiz.de/10010497517
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Dynamic currency hedging with ambiguity
Polak, Pawel; Ulrych, Urban - 2021 - This version: August 2021
Persistent link: https://www.econbiz.de/10012614590
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Hedging crop yield with exchange-traded weather derivatives
Zhou, Rui; Li, Johnny Siu-Hang; Pai, Jeffrey - In: Agricultural finance review 76 (2016) 1, pp. 172-186
Persistent link: https://www.econbiz.de/10011696358
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Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10012027037
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Backtesting extreme value theory models of expected shortfall
Novales, Alfonso; Garcia-Jorcano, Laura - In: Quantitative finance 19 (2019) 5, pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
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Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel; Ulrych, Urban - In: Quantitative finance 24 (2024) 2, pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
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Procyclicality of central counterparty margin models : systemic problems need systemic approaches
Gurrola-Perez, Pedro - In: The journal of financial market infrastructures 10 (2021) 1, pp. 23-55
Persistent link: https://www.econbiz.de/10014335781
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Powerful backtests for historical simulation expected shortfall models
Du, Zaichao; Pei, Pei; Wang, Xuhui; Yang, Tao - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...
Persistent link: https://www.econbiz.de/10010532587