| Publication | Date of Publication | Type |
|---|
| Elicitability of Return Risk Measures | 2023-02-25 | Paper |
Parametric measures of variability induced by risk measures
Insurance Mathematics & Economics | 2022-09-14 | Paper |
Implicit quantiles and expectiles
Annals of Operations Research | 2022-07-05 | Paper |
Short communication: An axiomatization of \(\Lambda\)-quantiles
SIAM Journal on Financial Mathematics | 2022-04-21 | Paper |
Coherent distortion risk measures and higher-order stochastic dominances
North American Actuarial Journal | 2022-01-10 | Paper |
On the dependence structure between S\&P500, VIX and implicit interexpectile differences
Quantitative Finance | 2021-09-03 | Paper |
Law-invariant functionals that collapse to the mean
Insurance Mathematics & Economics | 2021-06-21 | Paper |
Risk parity with expectiles
European Journal of Operational Research | 2021-06-07 | Paper |
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
European Journal of Operational Research | 2021-06-07 | Paper |
Law-Invariant Functionals on General Spaces of Random Variables
SIAM Journal on Financial Mathematics | 2021-05-04 | Paper |
Backtesting VaR and expectiles with realized scores
Statistical Methods and Applications | 2019-09-11 | Paper |
Implicit expectiles and measures of implied volatility
Quantitative Finance | 2019-02-06 | Paper |
Expectiles, omega ratios and stochastic ordering
Methodology and Computing in Applied Probability | 2018-11-08 | Paper |
Conditional expectiles, time consistency and mixture convexity properties
Insurance Mathematics & Economics | 2018-10-19 | Paper |
On elicitable risk measures
Quantitative Finance | 2018-09-19 | Paper |
Joint mixability of some integer matrices
Discrete Optimization | 2018-05-24 | Paper |
Robust return risk measures
Mathematics and Financial Economics | 2018-03-01 | Paper |
Option pricing in a conditional bilateral Gamma model
CEJOR. Central European Journal of Operations Research | 2016-06-30 | Paper |
Risk measures with the CxLS property
Finance and Stochastics | 2016-05-23 | Paper |
Risk measures with the CxLS property
Finance and Stochastics | 2016-05-23 | Paper |
Comparison results for GARCH processes
Journal of Applied Probability | 2014-10-15 | Paper |
Comparison results for GARCH processes
Journal of Applied Probability | 2014-10-15 | Paper |
Generalized quantiles as risk measures
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Haezendonck-Goovaerts risk measures and Orlicz quantiles
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Isotonicity properties of generalized quantiles
Statistics & Probability Letters | 2012-10-17 | Paper |
| Convex ordering of Esscher and minimal entropy martingale measures for discrete time models | 2012-05-30 | Paper |
Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
Communications in Statistics. Simulation and Computation | 2009-03-24 | Paper |
Optimal portfolios with Haezendonck risk measures
Statistics & Decisions | 2009-01-09 | Paper |
Conditional tail behaviour and Value at Risk
Quantitative Finance | 2008-01-31 | Paper |
Stationarity domains for \(\delta\)-power GARCH process with heavy tails
Statistics & Probability Letters | 2008-01-21 | Paper |
DETECTING AND MODELING TAIL DEPENDENCE
International Journal of Theoretical and Applied Finance | 2005-02-28 | Paper |
Runs tests for assessing volatility forecastability in financial time series
European Journal of Operational Research | 2005-01-12 | Paper |
Independent Component Analysis and Immunization: An Exploratory Study
International Journal of Theoretical and Applied Finance | 2004-09-07 | Paper |
On the Existence of Minimax Martingale Measures
Mathematical Finance | 2002-09-19 | Paper |
On Geometrically Convex Risk Measures
(available as arXiv preprint) | N/A | Paper |
