Similar Search Results - EconBiz

Book-to-market equity and asset correlations : an international study

Ho, Kung-Cheng; Lee, Shih-Cheng; Chen, Jiun-Lin - In: International review of economics & finance : IREF 79 (2022), pp. 258-274

Persistent link: https://www.econbiz.de/10013343395

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

Blockchain market and eco-friendly financial assets : dynamic price correlation, connectedness and spillovers with portfolio implications

Abakah, Emmanuel Joel Aikins; Ullah, G. M. Wali; … - In: International review of economics & finance : IREF 87 (2023), pp. 218-243

Persistent link: https://www.econbiz.de/10014472075

Dynamic asset allocation under VaR constraint with stochastic interest rates

Hainaut, Donatien - 2009

Persistent link: https://www.econbiz.de/10003934263

Econometric analysis of financial count data and portfolio choice : a dynamic approach

Rengifo, Erick W. - 2005

Persistent link: https://www.econbiz.de/10003987160

Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR

Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935

Persistent link: https://www.econbiz.de/10008652647

VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors

Kamdem, Jules Sadefo - In: Annals of finance 8 (2012) 1, pp. 123-150

Persistent link: https://www.econbiz.de/10009510573

Markets liquidity risk under extremal dependence : analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836

Persistent link: https://www.econbiz.de/10009667092

Solutions to the portfolio choice problem with VAR objective functions

Wilson, Linus - In: Economics, management and financial markets 10 (2015) 4, pp. 29-46

Persistent link: https://www.econbiz.de/10011555113

Equivalence of robust VaR and CVaR optimization

Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016

Persistent link: https://www.econbiz.de/10011539339

A service of the