scientific article; zbMATH DE number 5846618

MaRDI QIDQ3071558zbMATH OpenFDO

Authors Ruiming Wu, Xin Yu Wang, Xuefeng Song

Publication date 5 February 2011

zbMATH Keywords

measuring market risknews impact curve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Measuring systemic risk with CoVaR using a stock market data based approach
• Using CAViaR models with implied volatility for value-at-risk estimation
• The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
• Index-exciting CAViaR: a new empirical time-varying risk model
• scientific article; zbMATH DE number 6796085
• On a nonlinear risk analysis for stock market indexes
• scientific article; zbMATH DE number 6178852
• A theory of the risk for empirical CVaR with application to portfolio selection
• Stochastic models for risk estimation in volatile markets: a survey

Cited in

(2)

• A Risk Measurement Model of China’s Non-Ferrous Metal Futures Market
• scientific article; zbMATH DE number 6796085 (Why is no real title available?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3071558)