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Commentaire sur l'article "droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes"

Tokpavi, Sessi - In: Revue économique : revue bimestrielle 66 (2015) 3, pp. 537-539

Persistent link: https://www.econbiz.de/10011472966

Une évaluation des procédures de Backtesting : "tout va pour le mieux dans le meilleur des mondes"

Hurlin, Christophe; Tokpavi, Sessi - In: Finance : revue de l'Association Française de Finance 29 (2008) 1, pp. 53-80

Persistent link: https://www.econbiz.de/10003730239

Un test de validité de la Value at Risk

Hurlin, Christophe; Tokpavi, Sessi - In: Revue économique : revue bimestrielle 58 (2007) 3, pp. 599-608

Persistent link: https://www.econbiz.de/10003459676

Backtesting value-at-risk : a GMM duration-based test

Candelon, Bertrand; Colletaz, Gilbert; Hurlin, Christophe; … - 2009

Persistent link: https://www.econbiz.de/10003938576

Sampling error and double shrinkage estimation of minimum variance portfolios

Candelon, Bertrand; Hurlin, Christophe; Tokpavi, Sessi - 2011

Persistent link: https://www.econbiz.de/10008840679

Backtesting value-at-risk accuracy: a simple new test

Hurlin, Christophe; Tokpavi, Sessi - In: Journal of risk 9 (2006/07) 2, pp. 19-37

Persistent link: https://www.econbiz.de/10003697509

Editorial introduction to the special issue : comovement and contagion in financial markets

Kyrtsou, Catherine; Mignon, Valérie; Tokpavi, Sessi - In: International review of financial analysis 33 (2014), pp. 3-4

Persistent link: https://www.econbiz.de/10010520095

Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European journal of operational research : EJOR 244 (2015) 1, pp. 289-299

Persistent link: https://www.econbiz.de/10010531938

Testing for Granger causality in distribution tails : an application to oil markets integration

Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285

Persistent link: https://www.econbiz.de/10009729103

Conditional Value-at-Risk : An Alternative Measure for Low-Risk Strategies?

Tokpavi, Sessi - 2012

In contrast with existing literature that focuses on conditional Value-At-Risk (CVaR) as a portfolio risk measure, we examine here the properties of portfolios built to minimize CVaR. We look into the stability and performance potential of CVaR-optimal portfolios and compare our results with...

Persistent link: https://www.econbiz.de/10013107055