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Apr 15 2020 |
Lumengo Bonga-Bonga and Mathias mandla Manguzvane |
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Assessing the extent of contagion of sovereign credit risk among BRICS countries |
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Abstract Contact Information Citation Full Text - Note |
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Dec 10 2018 |
Yu Takata |
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Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios |
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Abstract Contact Information Citation Full Text - Note |
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Jun 05 2017 |
Xiaoying Huang |
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A Double-Exponential Jump model and its application to risk measure in Wheat spot market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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Jun 01 2015 |
Rachida Hennani and Michel Terraza |
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Contributions of a noisy chaotic model to the stressed Value-at-Risk |
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Abstract Contact Information Citation Full Text - Note |
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Mar 26 2012 |
Dimitrios P. Louzis , Spyros Xanthopoulos - Sissinis and Apostolos P. Refenes |
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Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach |
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Abstract Contact Information Citation Full Text - Note |
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Dec 09 2011 |
Wafa Snoussi and Mhamed ali El-aroui |
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Impact of Returns Time Dependency on the Estimation of Extreme Market Risk |
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Abstract Contact Information Citation Full Text - Note |
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