RiskMetrics
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Cited in
(only showing first 100 items - show all)- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- Risk preference modeling with conditional average: An application to portfolio optimization
- Moment based approaches to Value the Risk of contingent claim portfolios
- Testing diffusion processes for non-stationarity
- Empirical likelihood-based evaluations of value at risk models
- TTL
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
- The computation of the worst conditional expectation.
- The impact of stationarity assessment on studies of volatility and value-at-risk.
- Stable modeling of value at risk
- 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
- Multivariate Wishart stochastic volatility and changes in regime
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- The dynamics of the leverage cycle
- CAViaR
- The ZD-GARCH model: a new way to study heteroscedasticity
- STABLE
- The dynamic Black-Litterman approach to asset allocation
- Mean-VaR portfolio optimization: a nonparametric approach
- Noisy covariance matrices and portfolio optimization. II
- Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)
- IPSSIS
- Robust risk management
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Tail nonlinearly transformed risk measure and its application
- Subjective risk measures: Bayesian predictive scenarios analysis
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- 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
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory
- Estimation and decomposition of food price inflation risk
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
- GFC-robust risk management under the Basel accord using extreme value methodologies
- A detailed comparison of value at risk estimates
- Extreme market risk and extreme value theory
- A multi-objective multi-period stochastic programming model for public debt management
- Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
- On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
- Econometric modeling of risk measures: a selective review of the recent literature
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Market implied volatilities for defaultable bonds
- QRM
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Integrated bank risk modeling: a bottom-up statistical framework
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
- A new method for mean-variance portfolio optimization with cardinality constraints
- A composite risk measure framework for decision making under uncertainty
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- On Bayesian value at risk: from linear to non-linear portfolios
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
- Multivariate stochastic volatility with Bayesian dynamic linear models
- A semi-analytical method for VaR and credit exposure analysis
- The use of GARCH models in VaR estimation
- Mutual fund performance evaluation using data envelopment analysis with new risk measures
- An approach to VaR for capital markets with Gaussian mixture
- Strategic long-term financial risks: single risk factors
- Risk measures for derivatives with Markov-modulated pure jump processes
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
- On a statistical criterion for the heterogeneity of second-order moments
- MS_Regress
- How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
- 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
- Incorporating higher moments into value-at-risk forecasting
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Conditional value-at-risk: semiparametric estimation and inference
- Using a genetic algorithm-based RAROC model for the performance and persistence of the funds
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
- The convergence of set-valued scenario approach for downside risk minimization
- Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes
- jmcm
- Realized Volatility: A Review
- Gram-Charlier densities: a multivariate approach
- Robust portfolio selection under downside risk measures
- Dowd
- rmgarch
- AS 106
- Financial applications of bivariate Markov processes
- A flexible Markov chain approach for multivariate credit ratings
- Nonparametric Estimation for Risk in Value-at-Risk Estimator
- Semiparametric estimation of Value at Risk
- A PDE approach to risk measures of derivatives
- Dynamic factor long memory volatility
- Dynamic mean-VaR portfolio selection in continuous time
- Investment rankings via an objective measure of riskiness: a case study
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