References in zbMATH (referenced in 136 articles )

Showing results 1 to 20 of 136.
Sorted by year (citations)

1 2 3 ... 5 6 7 next

  1. Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto: Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (2022)
  2. Hong, Yongmiao; Linton, Oliver; McCabe, Brendan; Sun, Jiajing: A score statistic for testing the presence of a stochastic trend in conditional variances (2022)
  3. Ignatieva, Katja; Landsman, Zinoviy: A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (2021)
  4. Lin, Ruiyue; Liu, Qian: Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds (2021)
  5. Liu, Wei; Yang, Li; Yu, Bo: KDE distributionally robust portfolio optimization with higher moment coherent risk (2021)
  6. Seyfi, Seyed Mohammad Sina; Sharifi, Azin; Arian, Hamidreza: Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model (2021)
  7. Barthel, Nicole; Czado, Claudia; Okhrin, Yarema: A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (2020)
  8. Chen, Yan; Yu, Wenqiang: Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory (2020)
  9. Huo, Yanli; Xu, Chunhui; Shiina, Takayuki: Modeling and solving portfolio selection problems based on PVaR (2020)
  10. Li, Dong; Zhu, Ke: Inference for asymmetric exponentially weighted moving average models (2020)
  11. Li, Xingyi; Zakamulin, Valeriy: Stock volatility predictability in bull and bear markets (2020)
  12. Owusu Junior, Peterson; Alagidede, Imhotep: Risks in emerging markets equities: time-varying versus spatial risk analysis (2020)
  13. Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin: On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH (2020)
  14. Yu, Philip L. H.; Ng, F. C.; Ting, Jessica K. W.: Adjusting covariance matrix for risk management (2020)
  15. Qian, Peng-Yu; Wang, Zi-Zhuo; Wen, Zai-Wen: A composite risk measure framework for decision making under uncertainty (2019)
  16. Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J.: Market implied volatilities for defaultable bonds (2019)
  17. Tian, Ding-shi; Cai, Zong-wu; Fang, Ying: Econometric modeling of risk measures: a selective review of the recent literature (2019)
  18. 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)
  19. Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J.: On the sources of uncertainty in exchange rate predictability (2018)
  20. Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; Li, Duan: Portfolio optimization with nonparametric value at risk: a block coordinate descent method (2018)

1 2 3 ... 5 6 7 next