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Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Pospíšil, Jan; Sobotka, Tomáš; Ziegler, Philipp - In: Empirical economics : a journal of the Institute for … 57 (2019) 6, pp. 1935-1958
Persistent link: https://www.econbiz.de/10012215941
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Modeling a risk-based criterion for a portfolio with options
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of risk 16 (2013/14) 6, pp. 77-100
Persistent link: https://www.econbiz.de/10010476243
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Modeling a Risk-Based Criterion for a Portfolio with Options
Deng, Geng - 2016
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared to an all equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing problems. The criterion is inspired by...
Persistent link: https://www.econbiz.de/10013006914
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Value at risk models in Indian markets : a predictive ability evaluation study
Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838
Persistent link: https://www.econbiz.de/10012214623
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Measuring liquidity risk in an emerging market : liquidity adjusted value at risk approach for high frequency data
Emna, Rouetbi; Chokri, Mamoghli - In: International journal of economics and financial issues … 4 (2014) 1, pp. 40-53
Persistent link: https://www.econbiz.de/10010519731
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018
Persistent link: https://www.econbiz.de/10011891048
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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A stylised model for extreme shocks : four moments of the apocalypse
Brace, Alan; Lauer, Mark; Rado, Milo - 2008
Persistent link: https://www.econbiz.de/10003857123