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Tail dependence of major US stocks
Kang, Long; Babbs, Simon H. - In: Risk management and corporate governance, (pp. 131-165). 2012
Persistent link: https://www.econbiz.de/10009505349
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Short sale contraints : the impact on the return distribution
Dalvi, Manoj; Giannikos, Christos; Gousgounis, Eleni - In: Macroeconomics and finance in emerging market economies 5 (2012) 1, pp. 92-105
Persistent link: https://www.econbiz.de/10009531990
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Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Karadžić, Vesna - In: Economic annals 60 (2015) 206, pp. 87-116
Persistent link: https://www.econbiz.de/10011421685
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Goodness of fit tests in modeling the distribution of the daily rate of return of the WIG20 companies
Bednarz, Kamila - In: Folia oeconomica Stetinensia : FOS 10 (2011) 2, pp. 103-113
Persistent link: https://www.econbiz.de/10009663712
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Portfolio selection and optimization with higher moments : evidence from the Indian stock market
Saranya, K.; Prasanna, P. Krishna - In: Asia-Pacific financial markets 21 (2014) 2, pp. 133-149
Persistent link: https://www.econbiz.de/10010358431
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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Testing asymmetric correlations in stock returns via empirical likelihood method
Pan, Zhiyuan; Zheng, Xu; Chen, Qiang - In: China finance review international 4 (2014) 1, pp. 42-57
Persistent link: https://www.econbiz.de/10010259699
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Risk-management criteria in the Latin-American stock markets : an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry
Lorenzo-Valdés, Arturo; Ruíz-Porras, Antonio - In: International journal of computational economics and … 5 (2015) 4, pp. 430-450
Persistent link: https://www.econbiz.de/10011440889