RiskMetrics
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(only showing first 100 items - show all)- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- A detailed comparison of value at risk estimates
- Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
- Realized Volatility: A Review
- Moment based approaches to Value the Risk of contingent claim portfolios
- Risk measures for derivatives with Markov-modulated pure jump processes
- Robust portfolio selection under downside risk measures
- Incorporating higher moments into value-at-risk forecasting
- Statistical analysis of financial time series under the assumption of local stationarity
- Stress testing correlation matrix: a maximum empirical likelihood approach
- The impact of stationarity assessment on studies of volatility and value-at-risk.
- Extreme value analysis within a parametric outlier detection framework
- Financial applications of bivariate Markov processes
- Measures of risk
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Stock volatility predictability in bull and bear markets
- Stable modeling of value at risk
- Gram-Charlier densities: a multivariate approach
- Asymmetric multivariate normal mixture GARCH
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
- Using information quality for volatility model combinations
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
- Investment rankings via an objective measure of riskiness: a case study
- Divergent estimation error in portfolio optimization and in linear regression
- A new estimator method for GARCH models
- On the necessity of five risk measures
- Model uncertainty in a holistic perspective
- GFC-robust risk management under the Basel accord using extreme value methodologies
- Extreme market risk and extreme value theory
- Market implied volatilities for defaultable bonds
- Semiparametric estimation of Value at Risk
- Inference for asymmetric exponentially weighted moving average models
- The dynamics of the leverage cycle
- Noisy covariance matrices and portfolio optimization. II
- Dynamic mean-VaR portfolio selection in continuous time
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
- Alternative modeling for long term risk
- On Bayesian value at risk: from linear to non-linear portfolios
- The dynamic Black-Litterman approach to asset allocation
- An approach to VaR for capital markets with Gaussian mixture
- Integrated bank risk modeling: a bottom-up statistical framework
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- A score statistic for testing the presence of a stochastic trend in conditional variances
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Evaluation of volatility predictions in a VaR framework
- A flexible Markov chain approach for multivariate credit ratings
- A Risk Measurement Model of China’s Non-Ferrous Metal Futures Market
- Artifactual unit root behavior of value at risk (VaR)
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
- Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
- An empirical Bayesian forecast in the threshold stochastic volatility models
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Conditional value-at-risk: semiparametric estimation and inference
- Value at risk linear exponent (VARLINEX) forecasts
- A PDE approach to risk measures of derivatives
- Local likelihood density estimation and value-at-risk
- A PDE approach for risk measures for derivatives with regime switching
- Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds
- Modeling and solving portfolio selection problems based on PVaR
- Hedging effectiveness of stock index futures
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- The computation of the worst conditional expectation.
- Adjusting covariance matrix for risk management
- A Multilevel Simulation Optimization Approach for Quantile Functions
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- The conditional autoregressive Wishart model for multivariate stock market volatility
- A composite risk measure framework for decision making under uncertainty
- TTL
- CAViaR
- STABLE
- IPSSIS
- QRM
- MS_Regress
- jmcm
- Dowd
- rmgarch
- AS 106
- Institutional architectures and behavioral ecologies in the dynamics of financial markets
- Nonparametric Estimation for Risk in Value-at-Risk Estimator
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
- The convergence of set-valued scenario approach for downside risk minimization
- Estimation and decomposition of food price inflation risk
- Common volatility and correlation clustering in asset returns
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Modelling Specific Interest Rate Risk with Estimation of Missing Data
- Testing VaR under Basel III with application to no-failure setting
- On the sources of uncertainty in exchange rate predictability
- Empirical likelihood-based evaluations of value at risk models
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- The bounds of heavy-tailed return distributions in evolving complex networks
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
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