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Through the looking glass : indirect inference via simple equilibria

Calvet, Laurent E.; Czellar, Veronika - In: Journal of econometrics 185 (2015) 2, pp. 343-358

Persistent link: https://www.econbiz.de/10011348430

Option-based risk management of a bond portfolio under regime switching interest rates

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 1, pp. 47-70

Persistent link: https://www.econbiz.de/10009729065

Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - In: International journal of forecasting 28 (2012) 3, pp. 557-574

Persistent link: https://www.econbiz.de/10009658352

Forecasting value-at-risk using nonlinear regression quantiles and the intraday range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011 - Rev.

Persistent link: https://www.econbiz.de/10009619366

Time consistency of dynamic risk measures

Shapiro, Alexander - In: Operations research letters 40 (2012) 6, pp. 436-439

Persistent link: https://www.econbiz.de/10009716583

Computational methods for risk-averse undiscounted transient Markov models

Çavuş, Özlem; Ruszczyński, Andrzej P. - In: Operations research 62 (2014) 2, pp. 401-417

Persistent link: https://www.econbiz.de/10010361418

Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520

Persistent link: https://www.econbiz.de/10010228561

VaR-optimal risk management in regime-switching jump-diffusion models

Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109

Persistent link: https://www.econbiz.de/10010240819

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...

Persistent link: https://www.econbiz.de/10011545172

Rectangular sets of probability measures

Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541

Persistent link: https://www.econbiz.de/10011485624