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The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities
O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20
Persistent link: https://www.econbiz.de/10011337224
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Blockchain analytics for intraday financial risk modeling
Dixon, Matthew F.; Akcora, Cuneyt Gurcan; Gel, Yulia R.; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 67-89
Persistent link: https://www.econbiz.de/10012223863
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Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041
Persistent link: https://www.econbiz.de/10011781020
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Selection of value at risk models for energy commodities
Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
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On the characteristics of dynamic correlations between asset pairs
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K. - In: Research in international business and finance 32 (2014), pp. 60-82
Persistent link: https://www.econbiz.de/10010434475
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
Persistent link: https://www.econbiz.de/10001736255
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Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
Byström, Hans N. E. - 2001
Persistent link: https://www.econbiz.de/10001624224
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On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis
Janabi, Mazin A. M. al - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285
Persistent link: https://www.econbiz.de/10009790987
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735