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The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi; Dionne, Georges - 2021
Persistent link: https://www.econbiz.de/10012545817
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A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu; Kirby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 289 (2021) 1, pp. 381-398
Persistent link: https://www.econbiz.de/10012416736
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Semiparametric value-at-risk estimation of portfolios : a replication study of dias (Journal of Banking & Finance, 2014)
Xu, Jiahua - In: International Journal for Re-Views in Empirical … 3 (2019) 6, pp. 1-20
of both extreme value theory (EVT) models and other multivariate models. The author however discovers, in one instance …
Persistent link: https://www.econbiz.de/10012123197
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The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
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Hybrid methods for ranking DMUs that combine performance and improvement trend over successive periods
Hadad, Yossi; Keren, Baruch; Hanani, Michael Z. - In: International journal of logistics systems and management 16 (2013) 3, pp. 269-287
Persistent link: https://www.econbiz.de/10010230082
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Choice, order statistics, and the distribution of earnings
Sattinger, Michael - 1994
Persistent link: https://www.econbiz.de/10000893756
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Detecting determinism using recurrence quantification analysis : three test procedures
Aparicio, Teresa; Pozo, Eduardo F.; Saura Bacaicoa, Dulce - In: Journal of economic behavior & organization : JEBO 65 (2008) 3/4, pp. 768-787
Persistent link: https://www.econbiz.de/10003716991
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Why does the US dominate university league tables?
Li, Mei; Shankar, Sriram; Tang, Kam Ki - 2009
Persistent link: https://www.econbiz.de/10003872182
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Recurrence relations for the moments of order statistics from a beta distribution
Thomas, P. Yageen; Samuel, Philip - In: Statistical papers 49 (2008) 1, pp. 139-146
Persistent link: https://www.econbiz.de/10003579745
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Comparisons of Shewhart-type rank based control charts for monitoring location parameters of univariate processes
Mukherjee, Amitava; Sen, Rudra - In: International journal of production research 53 (2015) 14, pp. 4414-4445
Persistent link: https://www.econbiz.de/10011303724