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Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329
Persistent link: https://www.econbiz.de/10011649371
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Managing infrastructure tail risks in equity portfolios
Chakkalakal, Louis; Hommel, Ulrich - In: Essays on portfolio optimization and infrastructure …, (pp. 86-114). 2018
Persistent link: https://www.econbiz.de/10012111697
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Do coherent risk measures identify assets risk profiles similarly? : evidence from international futures markets
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael - In: Investment management and financial innovations 14 (2017) 3, pp. 361-380
Persistent link: https://www.econbiz.de/10011875432
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Risk estimation for short-term financial data through pooling of stable fits
De Donno, Marzia; Donati, Riccardo; Favero, Gino; … - In: Financial markets and portfolio management 33 (2019) 4, pp. 447-470
Persistent link: https://www.econbiz.de/10012427811
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation
Nakamura, Kazuki - In: Finance research letters 58 (2023) 4, pp. 1-5
Persistent link: https://www.econbiz.de/10014633349
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Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model
Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014304236
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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Sharing asymmetric tail risk : smoothing, asset pricing and terms of trade
Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni - 2021
Persistent link: https://www.econbiz.de/10012601997
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Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione
Persistent link: https://www.econbiz.de/10015099208