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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

Persistent link: https://www.econbiz.de/10014494675

Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...

Crousillat, Cesar - 2017

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …

Persistent link: https://www.econbiz.de/10012962743

On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations

Chen, Cathy W. S.; Than-Thi, Hong; Asai, Manabu - In: Computational economics 58 (2021) 2, pp. 413-433

Persistent link: https://www.econbiz.de/10012615031

Comparing multivariate volatility forecasts by direct and indirect approaches

Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57

Persistent link: https://www.econbiz.de/10011799128

Return or position-based value at risk?

Huillard d'Aignaux, Jérôme; Baranne, Benjamin; Fuchs, … - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 301-313

Persistent link: https://www.econbiz.de/10010472817

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580