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Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

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

Volatility versus downside risk : performance protection in dynamic portfolio strategies

Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479

Persistent link: https://www.econbiz.de/10012053148

Intra-horizon expected shortfall and risk structure in models with jumps

Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...

Persistent link: https://www.econbiz.de/10012179511