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A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk

Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

Tehran Stock Exchange portfolio including mentioned assets, is estimated. …

Persistent link: https://www.econbiz.de/10009769897

Hedging strategies in energy markets : the case of electricity retailers

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509

Persistent link: https://www.econbiz.de/10011564922

A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012659611

The evaluation of financial risk and portfolio selection

Hacıoğlu, Ümit; Dinçer, Hasan; Çelik, Ismail Erkan - In: Managerial issues in finance and banking : a strategic …, (pp. 111-120). 2014

Persistent link: https://www.econbiz.de/10010208420

Modified expected shortfall : a new robust coherent risk measure

Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83

Persistent link: https://www.econbiz.de/10013262918

A gradual nonconvexification method for minimizing value-at-risk

Xi, Jiong; Coleman, Thomas F.; Li, Yuying; Tayal, Aditya - In: Journal of risk 16 (2013/2014) 3, pp. 23-47

Persistent link: https://www.econbiz.de/10013262924

Notes on Fano ratio and portfolio optimization

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012229128

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

Portfolio performance evaluation in Mean-CVaR framework : a comparison with non-parametric methods value at risk in Mean-VaR analysis

Banihashemi, Shokoofeh; Navidi, Sarah - In: Operations research perspectives 4 (2017), pp. 21-28

As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk. Regard to, value at risk is not a coherent risk measure and it is not sub-additive and convex, so, we have considered...

Persistent link: https://www.econbiz.de/10011822843

Identifying systemic risk of assets during international financial crises using Value at Risk elasticities

Borer, Daniel; Perera, Devmali; Fitriya Fauzi; Chau … - In: International review of financial analysis 90 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014469916