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Hedging structured credit products during the credit crisis : a horse race of 10 models
Ascheberg, Marius; Bick, Björn; Kraft, Holger - In: Journal of banking & finance 37 (2013) 5, pp. 1687-1705
Persistent link: https://www.econbiz.de/10009729477
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Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10009690403
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The joint distribution of stock returns is not elliptical
Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009624498
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Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
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Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720755
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Editorial: Rogue trading : back to front
Faulds, Frances; Bessis, Joël - In: Journal of risk management in financial institutions 6 (2012/13) 1, pp. 4-5
Persistent link: https://www.econbiz.de/10009722610
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How can a small country affect the European economy? : the Greek contagion phenomenon
Samitas, Aristeidis; Tsakalos, Ioannis - In: Journal of international financial markets, … 25 (2013), pp. 18-32
Persistent link: https://www.econbiz.de/10009762814
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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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The use of copulas in explaining crop yield dependence structures for use in geographic diversification
Larsen, Ryan; Mjelde, James W.; Klinefelter, Danny; … - In: Agricultural finance review 73 (2013) 3, pp. 469-492
Persistent link: https://www.econbiz.de/10010361577
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Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory
Kellner, Ralf; Gatzert, Nadine - In: Journal of banking & finance 37 (2013) 11, pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034