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Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts....

Persistent link: https://www.econbiz.de/10009634376

Conditional value-at-risk-based optimal partial hedging

Cong, Jianfa; Tan, Ken Seng; Wang, Chengguo - In: Journal of risk 16 (2013/2014) 3, pp. 49-83

Persistent link: https://www.econbiz.de/10013262926

Effects of price of gold on Bombay stock exchange sectoral indices : new evidence for portfolio risk management

Trabelsi, Nader; Gozgor, Giray; Tiwari, Aviral Kumar; … - In: Research in international business and finance 55 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013264668

A parsimonious quantile regression model to forecast day-ahead value-at-risk

Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; … - In: Finance research letters 16 (2016), pp. 196-207

Persistent link: https://www.econbiz.de/10011656176

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097

Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10012116357

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures

Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109

Persistent link: https://www.econbiz.de/10012169513

Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

Persistent link: https://www.econbiz.de/10012117855

Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach

Karmakar, Madhusudan - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 275-291

Persistent link: https://www.econbiz.de/10011792337

Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data

Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190

Persistent link: https://www.econbiz.de/10011741290

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