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Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
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The Expected Value Premium
Chen, Long - 2006
Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium. From 1941 to 2002, the expected HML return is on average 5.1% per annum, consisting of an expected-dividend-growth...
Persistent link: https://www.econbiz.de/10012466485
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Optimal portfolio selection with a shortfall probability constraint : evidence from alternative distribution functions
Akcay, Yalcin; Yalçın, Atakan - In: The journal of financial research 33 (2010) 1, pp. 77-102
Persistent link: https://www.econbiz.de/10003966720
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Can "active portfolio weight change" of institutional investor make the stock market stable?
Wang, Zhaohui; Zhang, Xiangqun; Li, Hongya - In: China's rise and internationalization : regional and …, (pp. 251-264). 2020
Persistent link: https://www.econbiz.de/10012224035
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Exploring contemporaneous correlations among BRICS stock markets
Talwar, Shalini - In: Analele Universitătii Dunărea de Jos Galaţi 25 (2019) 3, pp. 51-59
Persistent link: https://www.econbiz.de/10012285702
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Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
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Stock market volatility spillovers and portfolio hedging : BRICS and the financial crisis
Syriopoulos, Theodore; Makram, Beljid; Boubaker, Adel - In: International review of financial analysis 39 (2015), pp. 7-18
Persistent link: https://www.econbiz.de/10011573010
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Transmission of shocks across global real estate and equity markets : an examination of the 2007-2008 housing crisis
Yunus, Nafeesa - In: Applied economics 50 (2018) 36, pp. 3899-3922
Persistent link: https://www.econbiz.de/10012060163