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VaR in high dimensional systems : a conditional correlation approach
Herwartz, Helmut; Pedrinha, Bruno - In: Applied quantitative finance, (pp. 83-102). 2009
Persistent link: https://www.econbiz.de/10003745954
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A DCC-VARMA model of portfolio risk : a simple approach to the estimation of the variance-covariance matrix of large stock portfolios
Potì, Valerio - In: Stock market volatility, (pp. 135-145). 2009
Persistent link: https://www.econbiz.de/10003830410
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Stress-testing correlations : an application to portfolio risk management
Bourgoin, Frédérick - In: Developments in forecast combination and portfolio choice, (pp. 275-298). 2001
Persistent link: https://www.econbiz.de/10001719163
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Financial econometrics and systemic risk
Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021
In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...
Persistent link: https://www.econbiz.de/10012604203
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VaR in high dimensional systems - a conditional correlation approach
Herwartz, Helmut; Pedrinha, B.; Raters, F. H. C. - In: Applied quantitative finance, (pp. 3-23). 2017
Persistent link: https://www.econbiz.de/10011794950
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On some approaches to managing market risk using VaR limits : a note
Lobanov, Alexey - In: Financial econometrics and empirical market microstructure, (pp. 195-206). 2015
Persistent link: https://www.econbiz.de/10011326643
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Modelling European exchange rates and VAR with copula approach
Bohdalová, Maria; Greguš, Michal - 2014
Persistent link: https://www.econbiz.de/10011941378
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Sparsity analysis of energy price forecasting
Chen, Shi - In: Econometric measures of financial risk in high dimensions, (pp. 37-62). 2017
Persistent link: https://www.econbiz.de/10011913345
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Portfolios, information and geometry : simplex orbis non sufficit
Briys, Eric; Magdalou, Brice; Nock, Richard - In: After the crisis : rethinking finance, (pp. 225-244). 2010
Persistent link: https://www.econbiz.de/10009509009
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Does active trading create value? : An evaluation of fund managers' decisions
Engström, Stefan - In: Success factors in asset management, (pp. 25-54). 2001
Persistent link: https://www.econbiz.de/10001639810