A semi-parametric approach to risk management
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DOI: 10.1088/1469-7688/3/6/302
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Cited by:
- Jeroen Rombouts & Marno Verbeek, 2009.
"Evaluating portfolio Value-at-Risk using semi-parametric GARCH models,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 737-745.
- Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
- Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics.
- ROMBOUTS, Jeroen VK & VERBEEK, Marno, 2009. "Evaluating portfolio value-at-risk using semi-parametric GARCH models," LIDAM Reprints CORE 2299, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management ERS-2004-107-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Kim, Bara & Kim, Jeongsim, 2019. "Stochastic ordering of Gini indexes for multivariate elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 151-158.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013.
"Inference for vast dimensional elliptical distributions,"
Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
- Kim, Joseph H.T. & Kim, So-Yeun, 2019. "Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 145-157.
- Scarf, Phil & Parma, Rishikesh & McHale, Ian, 2019. "On outcome uncertainty and scoring rates in sport: The case of international rugby union," European Journal of Operational Research, Elsevier, vol. 273(2), pages 721-730.
- Michael R. Metel & Traian A. Pirvu & Julian Wong, 2017. "Risk Management under Omega Measure," Risks, MDPI, vol. 5(2), pages 1-14, May.
- N.H. Bingham & John M. Fry & Rüdiger Kiesel, 2010. "Multivariate elliptic processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 352-366.
- Hashorva, Enkelejd, 2005. "Extremes of asymptotically spherical and elliptical random vectors," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 285-302, June.
- Fry, J. M. & Masood, Omar, 2011. "Testable implications of economic revolutions: An application to historic data on European wages," MPRA Paper 32812, University Library of Munich, Germany.
- Mark Flood & George Korenko, 2013. "Systematic Scenario Selection," Working Papers 13-02, Office of Financial Research, US Department of the Treasury.
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