swMATH37538MaRDI QIDQ53239FDOQ53239
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Official website: https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a
Cited In (only showing first 100 items - show all)
- The impact of stationarity assessment on studies of volatility and value-at-risk.
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Stable modeling of value at risk
- 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
- Model uncertainty in a holistic perspective
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
- 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
- Dynamic mean-VaR portfolio selection in continuous time
- The dynamics of the leverage cycle
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- The dynamic Black-Litterman approach to asset allocation
- An approach to VaR for capital markets with Gaussian mixture
- 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
- An empirical Bayesian forecast in the threshold stochastic volatility models
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Modeling and solving portfolio selection problems based on PVaR
- Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds
- The computation of the worst conditional expectation.
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- A composite risk measure framework for decision making under uncertainty
- Estimation and decomposition of food price inflation risk
- On the sources of uncertainty in exchange rate predictability
- Econometric modeling of risk measures: a selective review of the recent literature
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Construction, management, and performance of sparse Markowitz portfolios
- Tail nonlinearly transformed risk measure and its application
- The ZD-GARCH model: a new way to study heteroscedasticity
- Conditional VAR and expected shortfall: a new functional approach
- Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- The Strategic Uses of Value at Risk
- Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes
- Statistical estimation errors of VaR under ARCH returns
- Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
- Stress testing correlation matrix: a maximum empirical likelihood approach
- Statistical analysis of financial time series under the assumption of local stationarity
- Stock volatility predictability in bull and bear markets
- Inference for asymmetric exponentially weighted moving average models
- Alternative modeling for long term risk
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
- Evaluation of volatility predictions in a VaR framework
- Value at risk linear exponent (VARLINEX) forecasts
- Adjusting covariance matrix for risk management
- Modelling Specific Interest Rate Risk with Estimation of Missing Data
- Testing VaR under Basel III with application to no-failure setting
- Risk-Adjusted Economic Value Analysis
- Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
- A semi-analytical method for VaR and credit exposure analysis
- The exchange rate risk of Chinese yuan: using VaR and ES based on extreme value theory
- Dynamic factor long memory volatility
- Using a genetic algorithm-based RAROC model for the performance and persistence of the funds
- On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
- On a statistical criterion for the heterogeneity of second-order moments
- How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- 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
- Gram-Charlier densities: a multivariate approach
- Measures of risk
- Asymmetric multivariate normal mixture GARCH
- Investment rankings via an objective measure of riskiness: a case study
- 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
- Integrated bank risk modeling: a bottom-up statistical framework
- 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
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