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The Foster-Hart measure of riskiness for general gambles
Riedel, Frank; Hellmann, Tobias - In: Theoretical economics : TE ; journal of the Econometric … 10 (2015) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10010528233
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Simple risk measure calculations for sums of positive random variables
Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 273-280
Persistent link: https://www.econbiz.de/10009785394
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A dynamic extension of the Foster-Hart measure of riskiness
Hellmann, Tobias; Riedel, Frank - 2014
Persistent link: https://www.econbiz.de/10010411555
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Comparing approximations for risk measures of sums of non-independent lognormal random variables
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004
Persistent link: https://www.econbiz.de/10002153412
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The Foster-Hart measure of riskiness for general gambles : conference paper
Riedel, Frank; Hellmann, Tobias - 2013
riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …
Persistent link: https://www.econbiz.de/10010342818
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A dynamic extension of the Foster-Hart measure of riskiness
Hellmann, Tobias; Riedel, Frank - In: Journal of mathematical economics 59 (2015), pp. 66-70
Persistent link: https://www.econbiz.de/10011573463
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The Foster-Hart measure of riskiness for general gambles
Hellmann, Tobias; Riedel, Frank - In: Theoretical economics : TE ; an open access journal in … 10 (2015) 1, pp. 1-9
random variables. For many continuous random variables, the risk measure is equal to the worst--case risk measure, i.e. the …
Persistent link: https://www.econbiz.de/10011674068
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A generalized extreme value approach to financial risk measurement
Bali, Turan G. - In: Journal of money, credit and banking : JMCB 39 (2007) 7, pp. 1613-1649
Persistent link: https://www.econbiz.de/10003549211
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009619566