References in zbMATH (referenced in 127 articles )

Showing results 1 to 20 of 127.
Sorted by year (citations)

1 2 3 ... 5 6 7 next

  1. Lin, Ruiyue; Liu, Qian: Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds (2021)
  2. Barthel, Nicole; Czado, Claudia; Okhrin, Yarema: A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (2020)
  3. Li, Dong; Zhu, Ke: Inference for asymmetric exponentially weighted moving average models (2020)
  4. Li, Xingyi; Zakamulin, Valeriy: Stock volatility predictability in bull and bear markets (2020)
  5. Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin: On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH (2020)
  6. Yu, Philip L. H.; Ng, F. C.; Ting, Jessica K. W.: Adjusting covariance matrix for risk management (2020)
  7. Qian, Peng-Yu; Wang, Zi-Zhuo; Wen, Zai-Wen: A composite risk measure framework for decision making under uncertainty (2019)
  8. Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J.: Market implied volatilities for defaultable bonds (2019)
  9. Tian, Ding-shi; Cai, Zong-wu; Fang, Ying: Econometric modeling of risk measures: a selective review of the recent literature (2019)
  10. Zhu, Bangzhu; Ye, Shunxin; He, Kaijian; Chevallier, Julien; Xie, Rui: Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach (2019)
  11. Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J.: On the sources of uncertainty in exchange rate predictability (2018)
  12. Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; Li, Duan: Portfolio optimization with nonparametric value at risk: a block coordinate descent method (2018)
  13. Feldman, David; Xu, Xin: Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (2018)
  14. Ji, Ran; Lejeune, Miguel A.: Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints (2018)
  15. Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing: The ZD-GARCH model: a new way to study heteroscedasticity (2018)
  16. Harris, Richard D. F.; Nguyen, Anh T. H.: Dynamic factor long memory volatility (2017)
  17. Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi: The dynamic Black-Litterman approach to asset allocation (2017)
  18. Lwin, Khin T.; Qu, Rong; MacCarthy, Bart L.: Mean-VaR portfolio optimization: a nonparametric approach (2017)
  19. Małecka, Marta: Testing VaR under Basel III with application to no-failure setting (2017)
  20. Zhou, Ke; Gao, Jiangjun; Li, Duan; Cui, Xiangyu: Dynamic mean-VaR portfolio selection in continuous time (2017)

1 2 3 ... 5 6 7 next