Showing 61 - 70 of 127,272
Persistent link: https://www.econbiz.de/10003801768
Persistent link: https://www.econbiz.de/10012194794
Persistent link: https://www.econbiz.de/10015061195
existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …-implied correlation is much closer to true correlations than is the VaR-implied correlation with respect to average bias and root … well as to evaluate the impact of weights on the VaR-implied correlation and the ES-implied correlation. The test …
Persistent link: https://www.econbiz.de/10012004764
Persistent link: https://www.econbiz.de/10014314844
Persistent link: https://www.econbiz.de/10009778470
Persistent link: https://www.econbiz.de/10012505987
Persistent link: https://www.econbiz.de/10010404698
Persistent link: https://www.econbiz.de/10012820643
Persistent link: https://www.econbiz.de/10012650350