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Quantitative methods in economics and finance
Kliestik, Tomas (ed.); Valaskova, Katarina (ed.);  … - 2021
The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...
Persistent link: https://www.econbiz.de/10012586709
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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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Asset allocation in the Athens stock exchange : a variance sensitivity analysis
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10009615696
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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A stochastic oil price model for optimal hedging and risk management
Pennanen, Teemu; Bonatto, Luciane Sbaraini - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10013189999
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Model risk in risk models : quantifying statistical uncertainty in active risk
Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65
Persistent link: https://www.econbiz.de/10012423057
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Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches
Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48
Persistent link: https://www.econbiz.de/10011868092