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Sensitivity analysis of volatility: a new tool for risk management
Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - 2002
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …
Persistent link: https://www.econbiz.de/10011604240
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Sensitivity Analysis of GARCH Models
Ceci, Vladimiro; Manganelli, Simone; Vecchiato, Walter - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345470
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Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Economic modelling 51 (2015), pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
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An application of sensitivity analysis to hedge funds
Gregoriou, Greg N.; Pascalau, Razvan - In: The journal of risk model validation 10 (2016) 1, pp. 21-45
Persistent link: https://www.econbiz.de/10011485150
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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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SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
KAWAI, REIICHIRO - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 283-295
Markovian property of the dynamics given the past information. Some numerical examples are presented with a GARCH …
Persistent link: https://www.econbiz.de/10005006749
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A predictive global sensitivity analysis approach to monitoring and modifying operational hedging positions
Lee, Chieh; Munson, Charles L. - In: International journal of integrated supply management : … 9 (2014/2015) 3, pp. 178-201
Persistent link: https://www.econbiz.de/10011502658
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Configuring systems verification, validation and testing plan under various constraints and unpredicted events
Shabi, Jacob; Reich, Yoram - In: International journal of product development : IJPD 25 (2021) 4, pp. 369-393
Persistent link: https://www.econbiz.de/10013093151
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Functional sensitivity analysis of ruin probability in the classical risk models
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968
Persistent link: https://www.econbiz.de/10012696894
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Precautionary principle and attitudinal decision making
Engemann, Kurt J.; Miller, Holmes E. - In: Fuzzy economic review : the review of the International … 22 (2017) 1, pp. 3-18
Persistent link: https://www.econbiz.de/10011894038