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47 research outputs found
Risk Measurement and Management in a Crisis-Prone World
Author
A Damodaran
J Berkowitz
+13 more
J Kerkhof
K Dowd
K Dowd
Laurence S. Copeland
P A Embrechts
P F Christo�ersen
P Giot
P H Kupiec
P Jorion
S Basak
T G Bali
V Agarwal
Woon K. Wong
Publication venue
'Elsevier BV'
Publication date
01/01/2008
Field of study
Full text link
Crossref
Evaluation and Combination of Conditional Quantile Forecasts
Author
A A Weiss
A A Weiss
+46 more
A J Mcneil
C W J Granger
C W J Granger
C W J Granger
C W J Granger
D Du�e
D F Hendry
D W K Andrews
D W K Andrews
F X Diebold
F X Diebold
F X Diebold
G Barone-Adesi
G E Mizon
G Elliott
H J Bierens
H White
H White
Ivana Komunjer
J Danielsson
J H Stock
J H Stock
J M Bates
J Taylor
J W Taylor
J X Zheng
K D West
K D West
L M De Menezes
L P Hansen
M P Clements
P Christo�ersen
P Christo�ersen
P Embrechts
P F Christo�ersen
P H Kupiec
P K Battacharya
P Pakes
R F Engle
R Koenker
R T Clemen
R W Koenker
Raffaella Giacomini
V Chernozhukov
W K Newey
Y Kitamura
Publication venue
'Elsevier BV'
Publication date
01/01/2002
Field of study
Full text link
Crossref
Network Centrality and Pension Fund Performance
Author
A Banegas
A Buraschi
+44 more
A Pareek
Ajay Khorana
Ajay Khorana
Alberto G. Rossi
Allan G. Timmermann
Allan Timmermann
B Ding
D Avramov
D Blake
D Holtz-Eakin
Daron Acemoglu
David P. Blake
E J Elton
H Hong
H Mamaysky
H Ozsoylev
H Ozsoylev
Ian Tonks
J C Stein
J Chen
J K Kang
J Walden
Joshua Coval
Judith Chevalier
Judith Chevalier
Jules H Van Binsbergen
K J M Cremers
Kenneth Ahern
Klaas Baks
L Cohen
L Cohen
M Billio
M Carhart
M Kacperczyk
N P B Bollen
Paolo Colla
R Kosowski
Russ Wermers
Susan Christo?ersen
T Jenkinson
William F Sharpe
Y Hochberg
Y Hochberg
Z Ivkovic
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
Full text link
Crossref
Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?
Author
A J Patton
A Novales Cinca
+29 more
Alain-Philippe Fortin
B E Hansen
C Acerbi
C Acerbi
C Brooks
C Diks
E Kole
F X Diebold
G P Aielli
Georges Dionne
J A Lopez
J Berkowitz
Jean-Guy Simonato
M Mcaleer
M R Nieto
P Christo�ersen
P Christo�ersen
P F Christo�ersen
P F Christo�ersen
P H Kupiec
P R Hansen
R Engle
R F Engle
R Giacomini
R Giacomini
S Demarta
T Bollerslev
T Fissler
T Gneiting
Publication venue
'Elsevier BV'
Publication date
01/01/2018
Field of study
No full text
Crossref
Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR
Author
A. Tolga Ergun
B Hansen
+28 more
C Brownlees
C Zhou
D Du� E
G Lorenzoni
G Mainik
Giulio Girardi
L Allen
L Bauwens
L Bauwens
M Billio
M Segoviano
P Christo�ersen
P Christo�ersen
P Christo�ersen
P Giot
P Kupiec
R Citifuens
R F Engle
R F Engle
R F Engle
S Benoit
S Mittnik
T Adrian
T Bollerslev
V Acharya
V Acharya
X Huang
Y Hamao
Publication venue
'Elsevier BV'
Publication date
01/01/2012
Field of study
No full text
Crossref
The Risk Map: A New Tool for Validating Risk Models
Author
A Bl�chlinger
C Hurlin
+37 more
C P�rignon
C T Brownlees
Christophe Hurlin
Christophe Perignon
Cruz Lopez
D Du� E
D Zhu
European Central
G G Booth
Gilbert Colletaz
H Dahen
J A Lopez
J A Lopez
J A Lopez
J Berkowitz
J Berkowitz
J Berkowitz
J Cotter
J W Taylor
L Bauwens
L Eisenberg
L Fr�sard
M Broadie
M K Brunnermeier
M Pritsker
P Artzner
P F Christo�ersen
P F Christo�ersen
P F Christo�ersen
P Jorion
P Kupiec
R F Engle
R Stulz
T Adrian
T G Bali
V V Acharya
W P Gaglianone
Publication venue
'Elsevier BV'
Publication date
01/01/2012
Field of study
No full text
Crossref
The Risk Map: A New Tool for Backtesting Value-at-Risk Models
Author
C P�rignon
Christophe Hurlin
+33 more
Christophe Perignon
D Du� E
G D Gay
G G Booth
Gilbert Colletaz
H Dahen
J A Lopez
J A Lopez
J A Lopez
J Berkowitz
J Berkowitz
J Berkowitz
J C Escanciano
J C Escanciano
J Cotter
J Cotter
J W Taylor
L Eisenberg
L Fr�sard
M K Brunnermeier
M K Brunnermeier
P Artzner
P F Christo�ersen
P F Christo�ersen
P Jorion
P Kupiec
R F Engle
R Stulz
S Figlewski
T Adrian
V V Acharya
V V Acharya
W P Gaglianone
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
A Threshold Model for the Conditional Distribution of Stock Returns
Author
A C Harvey
A J Mcneil
+28 more
B E Hansen
B E Hansen
C Fernandez
C Francq
C R Harvey
C R Harvey
D E Rapach
D E Rapach
D Massacci
D R Cox
Daniele Massacci
F X Diebold
G Perez-Quiros
G Perez-Quiros
H L Koul
H Tong
I Welch
K S Chan
L Bauwens
M Guidolin
M Guidolin
N Shephard
P F Christo�ersen
P F Christo�ersen
R Colacito
T Bollerslev
T G Andersen
T Li
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
Arbitrage-Free Call Option Surface Construction Using Regression Splines
Author
B Dumas
B Dupire
+33 more
C Homescu
Carr
D Ruppert
E Derman
F Black
G Bakshi
G Jiang
G Orosi
G Orosi
G Orosi
G Orosi
G Wahba
Greg Orosi
H Egger
H Sundqvist
J Gatheral
M P Laurini
M R Fengler
M R Fengler
M R Fengler
M Roper
M Stone
P Christo�ersen
P Christo�ersen
R Cont
R Lagnado
S Figlewski
S Figlewski
S L Heston
T Coleman
Thomas C M Lee
V Henderson
Y Ait-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach
Author
A Eriksson
A M Monteiro
+32 more
A M Monteiro
B Dumas
D Bates
D Breeden
D Shimko
F Black
G Bakshi
G Gemmill
G Jiang
G Orosi
G Orosi
G Orosi
Greg Orosi
J Birru
J Gatheral
K Hamidieh
L E Rompolis
M Jacquier
M Ludwig
M R Fengler
P Christo�ersen
P Christo�ersen
S A Ross
S Figlewski
S Figlewski
S L Heston
S Markose
U Cherubini
V Henderson
Y A�t-Sahalia
Y A�t-Sahalia
Y A�t-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
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