Stochastic models for risk estimation in volatile markets: a survey
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Cites work
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- Stable Paretian models in finance
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Cited in
(22)- From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account
- Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
- Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Efficient algorithms for heavy-tail analysis under interval uncertainty
- Statistical estimation of composite risk functionals and risk optimization problems
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Forward-looking portfolio selection with multivariate non-Gaussian models
- scientific article; zbMATH DE number 5846618 (Why is no real title available?)
- Portfolio optimization under loss aversion
- Asymptotic analysis of simultaneous damages in spatial Boolean models
- Analysis of market weights under volatility-stabilized market models
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Computational aspects of portfolio risk estimation in volatile markets: a survey
- Stochastic volatility in financial markets. Crossing the bridge to continuous time
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
- Which robust versions of sample variance and sample covariance are most appropriate for econometrics: symmetry-based analysis
- Empirically successful transformations from non-Gaussian to close-to-Gaussian distributions: theoretical justification
- Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis
- From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
- Research on portfolio optimization under asymmetric power-law distribution of return tail
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