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Huschens, Stefan [Author] ; Kim, Jeong-Ryeol [Other]; Kurz-Kim, Jeong-Ryeol [Other] Technische Universität Dresden Fakultät Wirtschaftswissenschaften

Measuring risk in value-at-risk in the presence of infinite variance

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Dresden: Techn. Univ., Fak. Wirtschaftswiss., 1998

Published in: Dresdner Beiträge zu quantitativen Verfahren ; 25
Kohlhof, Joachim [Author]; Colina, Gabriela [Author]

Value-at-risk-Management in Banken - [1. Aufl.]

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Idstein: Schulz-Kirchner, 2000
Neumann, Kristin [Author]

Zeitreihenmodelle zur Schätzung des Value at Risk von Aktien : Beurteilung im Hinblick auf die bankenaufsichtsrechtlichen Bestimmungen

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Lohmar; Köln: Eul, 2000

Published in: Reihe Quantitative Ökonomie ; 10400
Prußog, Carsten [Author]

Shareholder-value-bezogene Abbildung von Risiken im Wertebereich bei Banken als Basis eines Risk-Return-Controlling

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Frankfurt am Main; Berlin; Bern; Wien [u.a.]: Lang, 2000

Published in: Beiträge zum Rechnungs-, Finanz- und Revisionswesen ; 43
Engle, Robert F. [Author]

Anticipating correlations : a new paradigm for risk management

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Princeton; Oxford: Princeton University Press, c 2009

Published in: The econometrics institute lectures
Li, Gang [Author]

Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model

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https://ssrn.com/abstract=3475179

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[S.l.]: SSRN, [2020]
Islam, Sultan [Author]

Asymmetric Covariance, Volatility, and Time-Varying Risk Premium : Evidence from the Finnish Stock Market

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https://ssrn.com/abstract=4413409

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[S.l.]: SSRN, [2023]
Hallin, Marc [Author]; Trucios, Carlos [Author]

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

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https://dipot.ulb.ac.be/dspace/bitstream/2013/315983/3/2020-50-HALLIN_TRUCIOS-forecasting.pdf

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Brussels, Belgium: ECARES, December 2020

Published in: European Center for Advanced Research in Economics and Statistics: ECARES working paper ; 2020,50
Großmaß, Lidan [Author]

Three Essays on Using High Frequency Data in Estimating Financial Risks

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2013
Gottschling, Andreas [Author]; Häfke, Christian [Author]; White, Halbert [Author]

Closed form integration of artificial neural networks with some applications

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http://hdl.handle.net/10419/40272

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Frankfurt a. M.: Deutsche Bank Research, 1999

Published in: Research notes in economics & statistics ; 199909
Zhen Guo [Author]

Two Essays on Stochastic Dominance and One Essay on Correlation Stress Tests

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2013
Rösch, Daniel [Author]; Scheule, Harald [Author]

The empirical relation between credit quality, recovery and correlation

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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-418.pdf

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Hannover: Fachbereich Wirtschaftswiss., Univ., 2009

Published in: Universität Hannover: Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät ; 41800
Singleton, Kenneth J. [Author]

Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment

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https://www.degruyter.com/isbn/9781400829231

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Princeton, NJ: Princeton University Press, 2009
Duffie, Darrell [Author]; Singleton, Kenneth J. [Author]

Credit Risk : Pricing, Measurement, and Management

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https://www.degruyter.com/isbn/9781400829170

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Princeton, NJ: Princeton University Press, 2012

Published in: Princeton Series in Finance
Evans, Martin D. D. [Author]

Exchange-Rate Dynamics

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https://www.degruyter.com/isbn/9781400838844

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Princeton, NJ: Princeton University Press, 2011

Published in: Princeton Series in International Economics
DeJong, David N. [Author]; Dave, Chetan [Author]

Structural Macroeconometrics : Second Edition

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https://www.degruyter.com/isbn/9781400840502

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Princeton, NJ: Princeton University Press, 2011
Hedegaard, Esben [Author] ; Hodrick, Robert J. [Other] National Bureau of Economic Research

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

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http://www.nber.org/papers/w20245

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Cambridge, Mass: National Bureau of Economic Research, June 2014

Published in: NBER working paper series ; no. w20245
Hedegaard, Esben [Author] ; Hodrick, Robert J. [Other]

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

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https://ssrn.com/abstract=2460805

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[S.l.]: SSRN, [2014]

Published in: Netspar Discussion Paper ; No. 06/2014-022
Hedegaard, Esben [Author] ; Hodrick, Robert J. [Other]

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

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https://ssrn.com/abstract=2457720

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[S.l.]: SSRN, [2014]

Published in: NBER Working Paper ; No. w20245
Hedegaard, Esben; Hodrick, Robert J.

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

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Elsevier BV, 2014

Published in: SSRN Electronic Journal

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