Similar Search Results

Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates

Jammazi, Rania; Nguyen, Duc Khuong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1352-1362

Persistent link: https://www.econbiz.de/10011815894

Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach

Orlando, Albina; Parker, Gary - In: Journal of mathematical finance 8 (2018) 2, pp. 349-371

Persistent link: https://www.econbiz.de/10011874781

Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?

Zhang, Yue-jun; Lin, Jia-Juan - In: International review of financial analysis 66 (2019), pp. 1-11

Persistent link: https://www.econbiz.de/10012209039

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method

Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151

Persistent link: https://www.econbiz.de/10012135119

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

Modelling portfolio capital flows in a global framework : multilateral implications of capital controls

Boero, Gianna; Mandalinci, Zeyyad; Taylor, Mark P. - In: Journal of international money and finance 90 (2019), pp. 142-160

Persistent link: https://www.econbiz.de/10012132969

Exchange rate volatility and foreign portfolio investment in Nigeria

Ogundipe, Adeyemi A.; Alabi, Joys; Asaleye, Abiola John; … - In: Investment management and financial innovations 16 (2019) 3, pp. 241-250

Persistent link: https://www.econbiz.de/10012159380

An analysis of portfolio VaR : variance-covariance approach

Poornima, B. G.; Reddy, Y. V. - In: The IUP journal of applied finance : IJAF 23 (2017) 3, pp. 63-79

Persistent link: https://www.econbiz.de/10011750207

Portfolio optimization through Kriging methods

Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905

Persistent link: https://www.econbiz.de/10011641047

A service of the

zbw