scientific article
From MaRDI portal
Publication:3118896
zbMath1250.91002MaRDI QIDQ3118896
Publication date: 6 March 2012
Full work available at URL: http://www.sciencedirect.com/science/book/9780123744487
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (17)
Equity returns and sentiment ⋮ Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach ⋮ Testing high-dimensional covariance matrices under the elliptical distribution and beyond ⋮ A closed-form quasi-maximum likelihood estimator of bid-ask spread ⋮ A multivariate conditional autoregressive range model ⋮ Multivariate Hill Estimators ⋮ Volatility modeling with leverage effect under Laplace errors ⋮ An econometric analysis of drawdown based measures ⋮ Market risk management in a post-Basel II regulatory environment ⋮ Expected shortfall: heuristics and certificates ⋮ Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR} ⋮ High-dimensional minimum variance portfolio estimation based on high-frequency data ⋮ SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY ⋮ The dynamics of ex-ante weighted spread: an empirical analysis ⋮ Testing VaR Under Basel III with Application to No-Failure Setting ⋮ Intertemporal choice of fuzzy soft sets ⋮ Two maxentropic approaches to determine the probability density of compound risk losses
Uses Software
This page was built for publication: