Narrow search
Showing 1 - 10 of 707,220
Cover Image
Dynamic currency hedging with ambiguity
Polak, Pawel; Ulrych, Urban - 2021 - This version: August 2021
Persistent link: https://www.econbiz.de/10012614590
Cover Image
Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10012027037
Cover Image
Stock portfolio design and backtest overfitting
Bailey, David H.; Borwein, Jonathan M.; López de … - In: Journal of investment management : JOIM 15 (2017) 1, pp. 75-87
Persistent link: https://www.econbiz.de/10011700609
Cover Image
An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
Cover Image
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
Cover Image
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian; Nigbur, Tobias; Seeger, Norman - In: Journal of empirical finance 42 (2017), pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Cover Image
Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041
Persistent link: https://www.econbiz.de/10011781020
Cover Image
How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and … that the traditional historical simulation approach, which is currently the most frequently used VaR estimator in …
Persistent link: https://www.econbiz.de/10011587888
Cover Image
On the effectiveness of natural hedging for insurance companies and pension plans
Li, Jackie; Haberman, Steven - In: Insurance / Mathematics & economics 61 (2015), pp. 286-297
Persistent link: https://www.econbiz.de/10010515868
Cover Image
Mark to market value at risk
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun - In: Journal of econometrics 208 (2019) 1, pp. 299-321
Persistent link: https://www.econbiz.de/10012145015