-
1
-
-
63649120808
-
Pair copula constructions of multiple dependence
-
Aas, K., C. Czado, A. Frigessi, and H. Bakken. "Pair Copula Constructions of Multiple Dependence." Insurance, Mathematics and Economics, 44(2009), pp. 182-198.
-
(2009)
Insurance, Mathematics and Economics
, vol.44
, pp. 182-198
-
-
Aas, K.1
Czado, C.2
Frigessi, A.3
Bakken, H.4
-
2
-
-
33646168798
-
The generalised hyperbolic skew student's t-distribution
-
Aas, K., and I. H. Haff. "The Generalised Hyperbolic Skew Student's t-distribution. " Journal of Financial Econometrics, 4(2006), pp. 275-309.
-
(2006)
Journal of Financial Econometrics
, vol.4
, pp. 275-309
-
-
Aas, K.1
Haff, I.H.2
-
3
-
-
0036221468
-
Asymmetric correlations of equity portfolios
-
Ang, A., and J. Chen. "Asymmetric Correlations of Equity Portfolios." Journal of Financial Economics, 63(2002), pp. 443-494.
-
(2002)
Journal of Financial Economics
, vol.63
, pp. 443-494
-
-
Ang, A.1
Chen, J.2
-
4
-
-
0036353532
-
International asset allocation with regime shifts
-
Ang, A., and G. Bekaert. "International Asset Allocation with Regime Shifts." Review of Financial Studies, 11(2002), pp. 1137-1187.
-
(2002)
Review of Financial Studies
, vol.11
, pp. 1137-1187
-
-
Ang, A.1
Bekaert, G.2
-
5
-
-
0033412999
-
Coherent measures of risk
-
Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. "Coherent Measures of Risk." Mathematical Finance, Vol. 9, No. 3(1999), pp. 203-228.
-
(1999)
Mathematical Finance
, vol.9
, Issue.3
, pp. 203-228
-
-
Artzner, P.1
Delbaen, F.2
Eber, J.-M.3
Heath, D.4
-
6
-
-
0035592442
-
Value-at-risk-based risk management: Optimal policies and asset prices
-
Basak, S., and A. Shapiro. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices." Review of Financial Studies, 14(2001), pp. 371-405. (Pubitemid 33587850)
-
(2001)
Review of Financial Studies
, vol.14
, Issue.2
, pp. 371-405
-
-
Basak, S.1
Shapiro, A.2
-
7
-
-
0001023182
-
Modeling the coherence in short-run nominal exchange rates: A multivariate generalized arch model
-
Bollerslev, T. "Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model." Review of Economics and Statistics, 72(1990), pp. 498-505.
-
(1990)
Review of Economics and Statistics
, vol.72
, pp. 498-505
-
-
Bollerslev, T.1
-
11
-
-
0348008906
-
Using copulae to bound the valueat-risk for functions of dependent risks
-
Embrechts, P., A. Hoeing, and A. Juri. "Using Copulae to Bound the Valueat-Risk for Functions of Dependent Risks." Finance & Stochastics, 7(2003), pp. 145-167.
-
(2003)
Finance & Stochastics
, vol.7
, pp. 145-167
-
-
Embrechts, P.1
Hoeing, A.2
Juri, A.3
-
12
-
-
0000051984
-
Autoregressive conditional heteroskedasticity models with estimation of variance of United Kingdom inflation
-
Engle, R. F. "Autoregressive Conditional Heteroskedasticity Models with Estimation of Variance of United Kingdom Inflation. " Econometrica, 50(1982), pp. 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.F.1
-
13
-
-
0035998182
-
Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
-
-. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business and Economic Statistics, 20(2002), pp. 339-350.
-
(2002)
Journal of Business and Economic Statistics
, vol.20
, pp. 339-350
-
-
-
14
-
-
0000818352
-
Relative deficiency of kernel type estimators of quantiles
-
Falk, M. "Relative Deficiency of Kernel Type Estimators of Quantiles." Annals of Statistics, 12(1984), pp. 261-268.
-
(1984)
Annals of Statistics
, vol.12
, pp. 261-268
-
-
Falk, M.1
-
15
-
-
61549122147
-
Dynamic copula modelling for value at risk
-
Fantazzini, D. "Dynamic Copula Modelling for Value at Risk." Frontiers in Finance and Economics, 5(2008), pp. 72-108.
-
(2008)
Frontiers in Finance and Economics
, vol.5
, pp. 72-108
-
-
Fantazzini, D.1
-
18
-
-
0000740327
-
Sensitivity analysis of values at risk
-
Gourieroux, C., J. P. Laurent, and O. Scaillet. "Sensitivity Analysis of Values at Risk." Journal of Empirical Finance, 7(2000), pp. 225-245.
-
(2000)
Journal of Empirical Finance
, vol.7
, pp. 225-245
-
-
Gourieroux, C.1
Laurent, J.P.2
Scaillet, O.3
-
19
-
-
0007283269
-
Multivariate models and dependence concepts
-
London: Chapman and Hall
-
Joe, H. Multivariate Models and Dependence Concepts. Monographs on Statistics and Applied Probability, 73. London: Chapman and Hall, 1997.
-
(1997)
Monographs on Statistics and Applied Probability
, pp. 73
-
-
Joe, H.1
-
20
-
-
33748437206
-
The copula-garch model of conditional dependencies: An international stock-market application
-
Jondeau, E., and M. Rockinger. "The Copula-GARCH Model of Conditional Dependencies: An International Stock-Market Application. " Journal of International Money and Finance, 25(2006), pp. 827-853.
-
(2006)
Journal of International Money and Finance
, vol.25
, pp. 827-853
-
-
Jondeau, E.1
Rockinger, M.2
-
21
-
-
67349097778
-
Copula-based multivariate garch model with uncorrelated dependent errors
-
Lee, T.-H., and X. Long. "Copula-Based Multivariate GARCH Model with Uncorrelated Dependent Errors." Journal of Econometrics, 150(2009), pp. 207-218.
-
(2009)
Journal of Econometrics
, vol.150
, pp. 207-218
-
-
Lee, T.-H.1
Long, X.2
-
22
-
-
0009662024
-
Extreme correlations in international equity markets
-
Longin, F., and B. Solnik. "Extreme Correlations in International Equity Markets." Journal of Finance, 56(2001), pp. 649-676.
-
(2001)
Journal of Finance
, vol.56
, pp. 649-676
-
-
Longin, F.1
Solnik, B.2
-
23
-
-
0000361129
-
Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach
-
McNeil, A. J., and R. Frey. "Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach." Journal of Empirical Finance, 7(2000), pp. 271-300.
-
(2000)
Journal of Empirical Finance
, vol.7
, pp. 271-300
-
-
McNeil, A.J.1
Frey, R.2
-
24
-
-
84997771370
-
-
Princeton University Press
-
McNeil, A. J., R. Frey, and P. Embrechts. Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton University Press, 2005.
-
(2005)
Quantitative Risk Management: Concepts, Techniques, and Tools
-
-
McNeil, A.J.1
Frey, R.2
Embrechts, P.3
-
26
-
-
11944258719
-
On the importance of skewness and asymmetric dependence in stock returns for asset allocation
-
Patton, A. "On the Importance of Skewness and Asymmetric Dependence in Stock Returns for Asset Allocation. " Journal of Financial Econometrics, 2(2004), pp. 130-168.
-
(2004)
Journal of Financial Econometrics
, vol.2
, pp. 130-168
-
-
Patton, A.1
-
27
-
-
33644560366
-
Regime switching for dynamic correlation
-
Pelletier, D. "Regime Switching for Dynamic Correlation. " Journal of Econometrics, 131(2002), pp. 445-473.
-
(2002)
Journal of Econometrics
, vol.131
, pp. 445-473
-
-
Pelletier, D.1
|