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An economic approach to market risk

Hott, Christian - In: Financial crises, sovereign risk and the role of …, (pp. 157-168). 2013

Persistent link: https://www.econbiz.de/10011286727

An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market

Iglesias, Emma M. - In: Applied economics 44 (2012) 34/36, pp. 4631-4637

Persistent link: https://www.econbiz.de/10009713374

VaR and time-varying volatility : a comparative study of three international portfolios

Obi, Pat; Sil, Shomir - In: Managerial finance 39 (2013) 7, pp. 625-640

Persistent link: https://www.econbiz.de/10009760762

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

Is there a low-risk anomaly across countries?

Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65

Persistent link: https://www.econbiz.de/10011441281

Extreme risk spillovers between crude oil and stock markets

Du, Limin; He, Yanan - In: Energy economics 51 (2015), pp. 455-465

Persistent link: https://www.econbiz.de/10011564907

Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets

Oteng-Amoako, Kingsley - In: The journal of risk model validation 8 (2014) 3, pp. 3-31

Persistent link: https://www.econbiz.de/10010423915

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342

Persistent link: https://www.econbiz.de/10010503584

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - 2014

Persistent link: https://www.econbiz.de/10010432170

Modelling and forecasting noisy realized volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2011 - Rev.

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. Since such errors are ignored, we need to take …

Persistent link: https://www.econbiz.de/10008936142