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Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

Forecasting the equity risk premium : the role of technical indicators

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791

Persistent link: https://www.econbiz.de/10010399441

Factor mimicking portfolios from parametric portfolio policies

Ascheberg, Marius - In: Essays on empirical asset pricing, dynamic asset …, (pp. 69-96). 2013

Persistent link: https://www.econbiz.de/10010412570

Measuring the speed of convergence of stock prices : a nonparametric and nonlinear approach

Kim, Hyeongwoo; Ryu, Deockhyun - In: Economic modelling 51 (2015), pp. 227-241

Persistent link: https://www.econbiz.de/10011475887

Modelling, estimation and visualization of multivariate dependence for risk management

Hsing, Tailen (contributor); … - 2004

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our …