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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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Ordering and inequalities for mixtures on risk aggregation
Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 421-451
Persistent link: https://www.econbiz.de/10012815980
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data
Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013341577
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Tail Mean-Variance Portfolio Selection with Estimation Risk
Huang, Zhenzhen; Wei, Pengyu; Weng, Chengguo - 2023
with their sample counterparts. The plug-in method inevitably introduces estimation risk and usually has poor out …Tail Mean-Variance (TMV) has emerged from the actuarial community as a criterion for risk management and portfolio …
Persistent link: https://www.econbiz.de/10014347301
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Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement
Weiß, Gregor - In: Kredit und Kapital 44 (2011) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10009504812
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Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis
Su, Xianfang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012660129
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Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates …. Estimates based on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of …
Persistent link: https://www.econbiz.de/10010358150
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Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates …. Estimates based on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of …
Persistent link: https://www.econbiz.de/10009615143