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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …
Persistent link: https://www.econbiz.de/10009576319
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Oil tail risk and the tail risk of the US Dollar exchange rates
Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul - In: Energy economics 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013283764
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009619566
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009562985
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Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
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Modifikation der Verteilungsannahme im Value-at-Risk-Modell
Jödicke, Ralf; Schremper, Ralf - 1999
Persistent link: https://www.econbiz.de/10001404275
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714