11 research outputs found
A Theory of Large Fluctuations in Stock Market Activity
- Author
- Albert Kyle
- Amir Dembo
- Andrei Shleifer
- Andrei Shleifer
- Andrei Shleifer
- Andrew Lo
- Antonio Bernardo
- Backus
- Barra
- Benjamin F Logan
- Benoit Mandelbrot
- Boris V Gnedenko
- Bruno Biais
- Bryan Routledge
- Charles M Jones
- Chiraphol Chiyachantana
- Claudia Canals
- Daniel Kahneman
- David Cutler
- David Easley
- David Hirshleifer
- David Romer
- Dennis Jansen
- Didier Sornette
- Dilip Abreu
- Dimitri Vayanos
- Dimitris Bertsimas
- Dmitri Pushkin
- Dominique M Guillaume
- Donald Keim
- Doyne Farmer
- Duane Seppi
- Eugene Fama
- Fabrizio Lillo
- Faruk Gul
- George Zipf
- Gerard Gennotte
- Giancarlo Corsetti
- Gur Huberman
- H. Eugene Eugene Stanley
- Herbert Simon
- Hyuk Choe
- Ingrid Werner
- Itzhak Gilboa
- J Mcculloch
- James Davies
- Jean-Philippe Bouchaud
- Jean-Philippe Bouchaud
- Jeffrey Wurgler
- Jeremy Stein
- Joel Hasbrouck
- Joel Hasbrouck
- John Campbell
- John Campbell
- John Griffin
- Joon Chae
- Kazumi Okuyama
- Kenneth A Froot
- Kenneth French
- Kevin Coyne
- Lars Hansen
- Lawrence Epstein
- Leonard Breiman
- Louis Chan
- Louis Chan
- Markus Brunnermeier
- Markus Brunnermeier
- Martin Evans
- Martin Weitzman
- Matthew Jackson
- Matthew Pritsker
- Maureen O&apos
- Michael Barclay
- Moshe Levy
- Nicholas Barberis
- Nicholas Barberis
- Nicholas Brady
- Parameswaran Gopikrishnan
- Parameswaran Gopikrishnan
- Parameswaran Gopikrishnan
- Paul Embrechts
- Paul Gompers
- Per Bak
- Peter Clark
- Randolph Cohen
- Ray Fair
- Richard C Grinold
- Richard Roll
- Robert Almgren
- Robert Axtell
- Robert Barro
- Robert Engle
- Robert Shiller
- Robert Shiller
- Roman Liesenfeld
- Rosario Mantegna
- Rosario Mantegna
- Rustam Ibragimov
- Samuel Kou
- Sanford Grossman
- Sergei Maslov
- Sidney Resnick
- Soeren Hvidkjaer
- Solomon Solomon
- Stephen Leroy
- Steven Durlauf
- Svetlozar Rachev
- Terrance Marsh
- Thomas Loeb
- Thomas Lux
- Thomas Lux
- Thomas Piketty
- Thomas Rietz
- Torben G Andersen
- Vasiliki Plerou
- Vasiliki Plerou
- Vasiliki Plerou
- Vasiliki Plerou
- Vasiliki Plerou
- Viral Acharya
- W Arthur
- William Brock
- William Goetzmann
- William Schwert
- Xavier Gabaix
- Xavier Gabaix
- Xavier Gabaix
- Xavier Gabaix
- Xavier Gabaix
- Xavier Gabaix
- Xavier Gabaix
- Yanhui Liu
- Yi-Cheng Zhang
- Yoshi Fujiwara
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2003
- Field of study
Full text linkImproving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2001
- Field of study
No full textInformation Systems for Risk Management
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2000
- Field of study
No full textCapital and Risk: New Evidence on Implications of Large Operational Losses
- Author
- Beverly Hirtle
- Catarineu-Rabell
- Christopher James
- Darrell Duffie
- Darryl Hendricks
- Eric S. Rosengren
- G S Maddala
- Jeffry Netter
- Jeremy Berkowitz
- John Jordan
- John S. Jordan
- Jon Danielsson
- Mark Carey
- Matthew Pritsker
- Nicolas Baud
- Patrick de Fontnouvelle
- Paul Embrechts
- Paul Embrechts
- Takeshi Amemiya
- Virginia De Jesus-Rueff
- William Greene
- Xavier Gabaix
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2003
- Field of study
No full textIncorporating a GED Model into the Historical Simulation Method for Value-at-Risk
- Author
- A Episcopos
- C O Alexander
- Chang-Cheng Chang Chien
- Chu-hsiung Lin
- D Hendricks
- D Jansen
- D Nelson
- E F Fama
- E J Harvey
- G E P Box
- G Koutmos
- G W Schwert
- G W Schwert
- Guermat Cherief
- Hooper
- J Boudoukh
- J Danielsson
- J Engle
- J M Mahoney
- John Hull
- Jose A Lopez
- Jp Morgan
- K Dowd
- K G Koedijk
- K G Koedijk
- K G Koedijk
- K Simons
- M Billio
- M Loretan
- Matthew Pritsker
- O Pictet
- P Kearns
- P Kupiec
- P Zangari
- Peter J G Vlaar
- Philip Best
- Philippe Jorion
- R Baillie
- R C Heynen
- R Huisman
- R Huisman
- R V D Goorbergh
- S X Wei
- T Bollerslev
- T Bollerslev
- T S Beder
- Y K Tse
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2003
- Field of study
No full textA Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility
- Author
- A B Sanders
- B Oksendal
- C S Jones
- D A Chapman
- Darrell Duue
- Darrell Duue
- Darrell Duue
- David Heath
- E Hille
- Eugene F Fama
- Francis Longstaa
- G N Milshtein
- G N Milshtein
- Jacob (Kobi) Boudoukh
- Jacob Boudoukh
- John C Cox
- John Campbell
- John Campbell
- John Huizinga
- Jonathan Ingersoll
- K C Chan
- Lars Hansen
- M Pritsker
- Matthew P. Richardson
- Michael Brennan
- Michael Gibbons
- Neal Pearson
- Qiang Dai
- Ren-Raw Chen
- Richard H. Stanton
- Richard Stanton
- Robert C Klemkosky
- Robert F Stambaugh
- Robert F. Whitelaw
- Robert Litterman
- Robin Brenner
- Stephen Brown
- Stephen Schaefer
- T Andersen
- Timothy Conley
- Walter Torous
- Yacine Ait-Sahalia
- Yacine Ait-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/1999
- Field of study
No full textIssues in Operational Risk Capital Modeling
- Author
- A J Shih
- Anna Chernobai
- Anna Chernobai
- Antoine Frachot
- Antoine Frachot
- Antoine Frachot
- Antoine Frachot
- Bakhodir Ergashev
- Bakhodir Ergashev
- B�hlmann
- Carol Alexander
- Daniel Kahneman
- Daniel Kahneman
- Daniel Kahneman
- Daniel Kahneman
- De Fontnouvelle
- De Fontnouvelle
- Eric Bouye
- Ethan Cohen-Cole
- Falko Aue
- G W Peters
- Giulio Mignola
- H S Na
- Hela Dahen
- Inbal Yahav
- J Cummins
- J Cummins
- J Gustafsson
- Jason Perry
- Jeffry M Netter
- Kabir Dutta
- Luciana Valle
- M Guillen
- M H Tripp
- Marco Moscadeli
- Martyn Dorey
- Matthew Hurd
- Matthew Pritsker
- Matthias Degen
- Matthias Degen
- Mo Chaudhury
- Nicolas Baud
- P Shevchenko
- Paul Embrechts
- Paul Embrechts
- Paul Embrechts
- Pavel V Shevchenko
- Ran Wei
- S A Klugman
- Stefano Demarta
- Tine Buch-Kromann
- Willem Yu
- Yannick Malevergne
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2009
- Field of study
No full textTerm Structure and Volatility: Lessons from the Eurodollar Markets
- Author
- A Gallant
- Andrea Buraschi
- Andrew Ang
- Bjorn Flesaker
- Christian Gourieroux
- Christopher G Lamoureux
- Clifford A Ball
- D L Engle
- Darrell Duffie
- Darrell Duffie
- Darrell Duffie
- Darrell Duffie
- Darrell Duffie
- David Backus
- Dong-Hyun Ahn
- Jean Picard
- Jesper Lund
- Kaushik Amin
- Kenichi Sato
- Kenneth Singleton
- Mark Broadie
- Mark Fisher
- Massoud Heidari
- Matthew Pritsker
- Michael Brandt
- Michael Johannes
- Mikhail Chernov
- Monika Piazzesi
- Mukkaram Attari
- Narasimhan Jegadeesh
- Patrick Cheredito
- Pierluigi Balduzzi
- Pierre Collin-Dufresne
- Pierre Collin-Dufresne
- Ravi Bansal
- Ravi Jagannathan
- Ren-Raw Chen
- Robert Litterman
- Ruslan Bikbov
- Sergei Levendorskii
- Sylvia Fr�hwirth-Schnatter
- Terence C Langetieg
- Timothy Conley
- Torben Andersen
- William H Press
- Yacine A�?ta�?t-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2004
- Field of study
No full textWhat We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches
- Author
- Adrian J Slywotzky
- Allen N Berger
- Amiyatosh Purnanandam
- Andrew
- Andrew Kuritzkes
- Andrew Kuritzkes
- Andrew Kuritzkes
- Andrew Kuritzkes
- Andrew Kuritzkes
- Andr� Lucas
- Anil Bangia
- Anthony Saunders
- Bernadette A Minton
- Beverly Hirtle
- Brown
- Chris Marrison
- Christopher Marshall
- Company Houghton Mifflin
- D Lando
- Darryll Hendricks
- David B Gross
- De Fontnouvelle
- De Fontnouvelle
- Dennis Uyemura
- E I Altman
- Elizabeth Mays
- Francis X Diebold
- Francis X Diebold
- Francois Longin
- Frank H Knight
- Glyn A Holton
- H Koyluoglu
- Ian Domowitz
- J A Lopez
- Jeffry M Netter
- Joao A C Santos
- Joel Bessis
- Joshua V Rosenberg
- Kevin Stiroh
- Linda Allen
- Linda Allen
- Mark Carey
- Mark Carey
- Matthew Pritsker
- Michael B Gordy
- Michael Gordy
- Michel Crouhy
- P Nickell
- Philippe Jorion
- Philippe Jorion
- Raghuram G Rajan
- Richard Herring
- S.-H Poon
- Samuel Hanson
- T Andersen
- Til Schuermann
- Til Schuermann
- Timothy W Koch
- William F Treacy
- X K Dimakos
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2006
- Field of study
No full textOffshore Investment Funds
- Author
- Abhijit V. Banerjee
- Ajay Khorana
- Barry J. Eichengreen
- Charles M. C. Lee
- Charles M. C. Lee
- Daniel Kahneman
- David S. Scharfstein
- Diane Del Guercio
- ERIC G. FALKENSTEIN
- Geert Bekaert
- Hyuk Choe
- J. Bradford de Long
- Jeffrey A. Frankel
- Jeffrey A. Frankel
- John Maynard Keynes
- Josef Lakonishok
- Josef Lakonishok
- Josef Lakonishok
- Josef Lakonishok
- Kenneth A. Froot
- Mark Grinblatt,
- Matthew Pritsker
- MICHAEL J. BRENNAN
- Milton Friedman
- Peter Henry
- Peter Martin
- Peter Moles
- Richard A. Ippolito
- Richard H. Thaler
- Robert A. Haugen
- Robert B. Milroy
- Robert W. Helm,
- Russ. Wermers
- Samuel Wylie
- Shefrin Hersh
- Shlomo Benartzi
- Stephany Griffith-Jones
- Stephen J. Brown
- Stephen J. Brown
- STEPHEN P. FERRIS
- Sushil Bikhchandani
- Tarun Chordia
- Terrance Odean
- W. Fung
- Woochan Kim
- Publication venue
- 'Korean Institute for International Economic Policy'
- Publication date
- Field of study
No full text
