RiskMetrics

swMATH37538MaRDI QIDQ53239FDOQ53239

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Cited In (only showing first 100 items - show all)

• A detailed comparison of value at risk estimates
• Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
• Realized Volatility: A Review
• Risk measures for derivatives with Markov-modulated pure jump processes
• Moment based approaches to Value the Risk of contingent claim portfolios
• Robust portfolio selection under downside risk measures
• Incorporating higher moments into value-at-risk forecasting
• Extreme value analysis within a parametric outlier detection framework
• Financial applications of bivariate Markov processes
• Measures of risk
• Stable modeling of value at risk
• Asymmetric multivariate normal mixture GARCH
• Semiparametric estimation of Value at Risk
• On the necessity of five risk measures
• Noisy covariance matrices and portfolio optimization. II
• On Bayesian value at risk: from linear to non-linear portfolios
• An approach to VaR for capital markets with Gaussian mixture
• Integrated bank risk modeling: a bottom-up statistical framework
• A VaR Black–Litterman model for the construction of absolute return fund-of-funds
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• A Risk Measurement Model of China’s Non-Ferrous Metal Futures Market
• A flexible Markov chain approach for multivariate credit ratings
• Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
• 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
• A PDE approach to risk measures of derivatives
• Conditional value-at-risk: semiparametric estimation and inference
• Local likelihood density estimation and value-at-risk
• A Multilevel Simulation Optimization Approach for Quantile Functions
• A PDE approach for risk measures for derivatives with regime switching
• Hedging effectiveness of stock index futures
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian 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
• Nonparametric Estimation for Risk in Value-at-Risk Estimator
• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• Take it to the limit: innovative CVaR applications to extreme credit risk measurement
• Common volatility and correlation clustering in asset returns
• The convergence of set-valued scenario approach for downside risk minimization
• Gram–Charlier densities: a multivariate approach
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
• Empirical likelihood-based evaluations of value at risk models
• 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
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Cluster analysis for portfolio optimization
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Bayesian Risk Measures for Derivatives via Random Esscher Transform
• Subjective risk measures: Bayesian predictive scenarios analysis
• Construction, management, and performance of sparse Markowitz portfolios
• The use of GARCH models in VaR estimation
• Multivariate Wishart stochastic volatility and changes in regime
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)
• Investment Rankings via an Objective Measure of Riskiness: A Case Study
• Risk preference modeling with conditional average: An application to portfolio optimization
• Robust risk management
• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• A new method for mean-variance portfolio optimization with cardinality constraints
• Dynamic mean–VaR portfolio selection in continuous time
• Risk management in uncapacitated facility location models with random demands
• Testing diffusion processes for non-stationarity
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Strategic long-term financial risks: single risk factors
• A multi-objective multi-period stochastic programming model for public debt management
• Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999
• Regularizing portfolio optimization
• Statistical estimation errors of VaR under ARCH returns
• Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System
• Mean-VaR portfolio optimization: a nonparametric approach
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
• ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
• Stress testing correlation matrix: a maximum empirical likelihood approach
• Statistical analysis of financial time series under the assumption of local stationarity
• The impact of stationarity assessment on studies of volatility and value-at-risk.
• Stock volatility predictability in bull and bear markets
• A smooth non-parametric estimation framework for safety-first portfolio optimization
• Using information quality for volatility model combinations
• Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
• 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
• Testing VaR Under Basel III with Application to No-Failure Setting
• Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
• Inference for asymmetric exponentially weighted moving average models
• 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
• Divergent estimation error in portfolio optimization and in linear regression
• A new estimator method for GARCH models
• The dynamics of the leverage cycle
• Alternative modeling for long term risk
• Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
• An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
• The dynamic Black-Litterman approach to asset allocation

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