9 research outputs found
Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection
- Author
- Adrian Buss
- Alan Kraus
- Alexander Kempf
- Alexander Kempf
- Alexandros Kostakis
- Alok Kumar
- Andrew Ang
- Bo-Young Chang
- Campbell Harvey
- Demiguel
- Douglas T Breeden
- Driessen
- Eric Jondeau
- Felix Brinkmann
- Francois Longin
- Geert Bekaert
- Gene Amromin
- Gurdip Bakshi
- Gurdip Bakshi
- Lawrence R Glosten
- Lionel Martellini
- Mark E Rubinstein
- Mervyn King
- Michael J Best
- Nikolas Barberis
- Olaf Korn
- Peter A Frost
- Peter Christoffersen
- Phillip A Braun
- R O Michaud
- Rainer Baule
- Ravi Jagannathan
- Robert C Merton
- Robert C Scott
- Tarun Chordia
- V K Chopra
- Vasiliki D Skintzi
- Victor Demiguel
- Yacine A�?ta�?t-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study
The Effect of Misestimating Correlation on Value at Risk
- Author
- Publication venue
- 'Pageant Media US'
- Publication date
- Field of study
Volatility Spillovers and Dynamic Correlation in European Bond Markets
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2004
- Field of study
The Effect of Mis-Estimating Correlation on Value-at-Risk
- Author
- A F Siegel
- A Lehar
- Apostolos N. Refenes
- B H Boyer
- C A Walter
- C A Walter
- C O Alexander
- C O Alexander
- C O Alexander
- D J Duffie
- E A Cornish
- E C Kaplanis
- E Jacquier
- F Black
- F Longin
- George S. Skiadopoulos
- J M Campa
- J P Morgan
- K D Garbade
- M Crouhy
- P Jackson
- P Jorion
- R D Dav�
- R F Engle
- R F Engle
- R Rebonato
- S Figlewski
- T Bollerslev
- T J Linsmeier
- T S Beder
- V Bhansali
- Vasiliki D. Skintzi
- W Fallon
- Y K Tse
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2003
- Field of study
Implied Correlation Index: A New Measure of Diversification
- Author
- A F Siegel
- Apostolos N. Refenes
- B J Blair
- B Solnik
- C Ang
- C B Erb
- C C Finger
- C R Harvey
- C R Harvey
- E Bertero
- E Sheedy
- F Black
- F Bourgoin
- F Longin
- F Moraux
- H A Latane
- J A Lopez
- J C Cox
- J Fleming
- J Fleming
- J Hull
- J M Campa
- J N Bodurtha
- J P Morgan
- L P Hansen
- L Ramchand
- M Lundin
- N Panigirtzoglou
- P Bennett
- P D Koch
- R Bliss
- R C Merton
- R E Whaley
- R F Engle
- R F Engle
- S B Lee
- T Andersen
- T Andersen
- Vasiliki D. Skintzi
- Von G M Fustenberg
- Y H Cho
- Y K Tse
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2003
- Field of study
Portfolio Optimization Using Forward-Looking Information
- Author
- Adrian Buss
- Alexander Kempf
- Alexandros Kostakis
- Andrew Ang
- Bo-Young Chang
- Burton G Malkiel
- Carlos Jabbour
- Charles Cao
- David Easley
- Demiguel
- Demiguel
- Douglas T Breeden
- Edwin J Elton
- Eugene F Fama
- Fangjian Fu
- George J Jiang
- Gurdip Bakshi
- Harry Markowitz
- Jennifer S Conrad
- Joel M Vanden
- Jun Pan
- Lionel Martellini
- Lkc Chan
- Mark B Shackleton
- Mark Britten-Jones
- Mark Rubinstein
- Martijn Cremers
- Michael J Best
- Olaf Korn
- Olivier Ledoit
- Peter A Frost
- Peter Carr
- Peter Christoffersen
- Poon
- Raman Kumar
- Ravi Jagannathan
- Richard O Michaud
- Robert C Merton
- Robert R Grauer
- Roger Clarke
- Sugato Chakravarty
- Sven Sassning
- Thomas Busch
- Turan G Bali
- Turan G Bali
- Vasiliki D Skintzi
- Victor Demiguel
- Vijay K Chopra
- William F Sharpe
- Yacine A�?ta�?t-Sahalia
- Yuhang Xing
- Zahid Rehman
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2012
- Field of study
The Price of Correlation Risk: Evidence from Equity Options
- Author
- Amit Goyal
- Amit Goyal
- Andrea Buraschi
- Andrea Buraschi
- Andrew Ang
- Bing Han
- Christopher S Jones
- Cnv Krishnan
- David S Bates
- Douglas T Breeden
- Eugene F Fama
- Fischer S Black
- Fischer S Black
- Francis A Longsta�
- George J Jiang
- Grigory Vilkov
- Gurdip S Bakshi
- Gurdip S Bakshi
- Gurdip S Bakshi
- Jay A Shanken
- Jonathan E Ingersoll
- Joost Driessen
- Jose A Lopez
- Jose M Campa
- Joseph S Chen
- Lubos Pastor
- Mark Britten-Jones
- Mark Broadie
- Mark Rubinstein
- Michael W Brandt
- Narasimhan Jegadeesh
- Nicolae B Garleanu
- Nicolas P B Bollen
- Nicole Branger
- Oleg Bondarenko
- Oleg Bondarenko
- Oleg Bondarenko
- Pascal J. Maenhout
- Pedro Santa-Clara
- Peter P Carr
- Peter P Carr
- Pierre Collin-Dufresne
- Richard Roll
- Robert A Jarrow
- Robert C Merton
- Robert C Merton
- Tim P Bollerslev
- Tim P Bollerslev
- Tobias J Moskowitz
- Torben Andersen
- Vasiliki D Skintzi
- Whitney K Newey
- Yacine Ait-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2006
- Field of study
A Factor Structure for Implied Volatility
- Author
- Adrian Buss
- Adrian Buss
- An
- Andrew Ang
- Bj�rn Eraker
- Borovi� Cka
- Christian Jensen
- Cli�ord A Ball
- David E Rapach
- David S Bates
- David S Bates
- David S Bates
- Douglas T Breeden
- Driessen
- Du� E
- Eugene F Fama
- Eugene F Fama
- Eugene F Fama
- Fang Liu
- Fang Liu
- Fischer Black
- Fran�ois Longin
- G Schwert
- Gurdip Bakshi
- Gurdip Bakshi
- Gurdip Bakshi
- Gurdip Bakshi
- Ian Martin
- Ian Martin
- James H Stock
- Jin-Chuan Duan
- John C Cox
- John C Cox
- Kaushik I Amin
- Kewei Hou
- Mark M Carhart
- Mihaela Serban
- Nai-Fu Chen
- Nicholas J Higham
- Nicolae G�rleanu
- Nicolas P B Bollen
- Ohad Kadan
- Ohad Kadan
- Ohad Kadan
- Oliver Ledoit
- Peter Christo�ersen
- Philippe Jorion
- Richard Roll
- Robert C Merton
- Robert C Merton
- Robert C Merton
- Robert C Merton
- Robert F Engle
- Shu Yan
- Stephen A Ross
- Stephen A Ross
- Stephen A Ross
- Torben G Anderson
- Turan G Bali
- Vasanttilak Naik
- Vasiliki D Skintzi
- Xiaoxiao Tang
- Xiaoxiao Tang
- Yongmiao Hong
- Yuhang Xing
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2017
- Field of study