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Essays on financial economics
Pinheiro, Marcelo de Albuquerque - 2003
Persistent link: https://www.econbiz.de/10003628557
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Tail risk concerns everywhere
Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130
Persistent link: https://www.econbiz.de/10012039979
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Extending risk budgeting for market regimes and quantile factor models
Flint, Emlyn; Di Plooy, Simon - In: The journal of investment strategies 7 (2018) 4, pp. 51-74
Persistent link: https://www.econbiz.de/10012001993
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The Hill estimator in financial risk assessment and an application to extremal exchange rate risk
Wagner, Niklas F. - In: Financial risk and financial risk management, (pp. 173-187). 2002
Persistent link: https://www.econbiz.de/10001755640
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CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
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Measuring event risk
Nyberg, Peter; Wilhelmsson, Anders - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 265-287
Persistent link: https://www.econbiz.de/10003884188
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
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Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
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Bayesian estimation of the false negative fraction in screening tests
Held, Leonhard (contributor);  … - 2004
terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no …Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …
Persistent link: https://www.econbiz.de/10002719909
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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032