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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions
Assaf, Ata - In: Journal of multinational financial management 29 (2015), pp. 30-45
Persistent link: https://www.econbiz.de/10011539511
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Modeling manager confidence in forecasted excess returns under active portfolio management
Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365
Persistent link: https://www.econbiz.de/10010476259
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Portfolio optimization and risk management under non-normal stable and tempered stable distributions in Islamic finance
Bekri, Mahmoud - 2014
Persistent link: https://www.econbiz.de/10010400337
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Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
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On the correlation between commodity and equity returns : implications for portfolio allocation
Lombardi, Marco; Ravazzolo, Francesco - 2013
Persistent link: https://www.econbiz.de/10009782578
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Alternative statistical distributions for estimating value-at-risk : theory and evidence
Lee, Cheng F.; Su, Jung-bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331
Persistent link: https://www.econbiz.de/10009673712
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Estimation of time varying skewness and kurtosis with an application to value at risk
Dark, Jonathan Graeme - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-48
Persistent link: https://www.econbiz.de/10009514124
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Estimation of portfolio return and value at risk using a class of Gaussian mixture distributions
Tan, Kangrong; Chu, Meifen - In: The international journal of business and finance … 6 (2012) 2, pp. 97-107
Persistent link: https://www.econbiz.de/10009389668
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596