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Risk measures computation by Fourier inversion

Nguyen, Ngoc Quynh Anh; Nguyen, Thi Ngoc Trang - In: The Journal of Risk Finance 18 (2017) 1, pp. 76-87

Purpose The purpose of this paper is to present the method for efficient computation of risk measures using Fourier transform technique. Another objective is to demonstrate that this technique enables an efficient computation of risk measures beyond value-at-risk and expected shortfall. Finally,...

Persistent link: https://www.econbiz.de/10014901899

Empirical performance of stochastic volatility option pricing models

Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22

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A methodology to forecast commodity prices in Vietnam

Thi Ngoc Trang Nguyen; Ngoc Tho Tran - In: International journal of economics and finance 7 (2015) 5, pp. 44-49

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Do financial and personal characteristics of the household become institutional shields from natural disasters? : a closer look at Vietnamese rural areas

Nguyen Thi Mai; Khanh Ngoc Tran Le; Ngoc Quynh Anh Nguyen - In: Southeast Asian journal of economics 11 (2023) 1, pp. 189-216

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Vietnam and threshold conditions in the process of global financial integration

Nguyen Thi Ngoc Trang; Nguyen Thi Diem Kieu - In: Journal of economic development 22 (2015) 4, pp. 2-25

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Exchange rate pass-through in Vietnam under the impact of inflationary environment

Tran Ngoc Tho; Nguyen Thi Ngoc Trang - In: Journal of economic development 23 (2016) 3, pp. 89-109

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Nonlinear effects of oil prices on inflation, growth, budget deficit, and unemployment

Nguyen Thi Ngoc Trang; Dinh Thi Thu Hong - In: Journal of economic development 24 (2017) 1, pp. 75-91

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The impact of oil price on the growth, inflation, unemployment and budget deficit of Vietnam

Nguyen Thi Ngoc Trang; Tran Ngoc Tho; Dinh Thi Thu Hong - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 3, pp. 42-49

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