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Parametric
Document Title Author Issue Date
Two-Step Methods in VaR Prediction and the Impor.. [Ergen, Ibrahim] 8-20-2014
Bayesian Expected Shortfall Forecasting Incorpor.. [Gerlach, Richard][Chen, Cathy W. S.] 8-17-2014
Measuring the Risk of a Non-Linear Portfolio wit.. [Date, Paresh][Bustreo, Roberto] 8-12-2014
Estimating Liquidity Risk Using the Exposure-Bas.. [Yan, Meilan][Hall, Maximilian JB][Turner, Paul] 8-2-2014
Score Driven Exponentially Weighted Moving Avera.. [Lucas, Andre][Zhang, Xin] 7-31-2014
Efficient VaR and Expected Shortfall Computation.. [Oosterlee, Cornelis W.][Ortiz-Gracia, Luis] 7-19-2014
Capital Requirements and Optimal Investment with.. [Asimit, Alexandru V.][Badescu, Alexandru][Siu, Tak Kuen][Zinchenko, Yuriy] 1-31-2014
Integrated Risk Management: Risk Aggregation and.. [Mitschele, Andreas][Schlottmann, Frank][Seese, Detlef] 12-31-2013
A Measuring Approach of Portfolio's VaR Base.. [Wang, Ping] 12-30-2013
Managing Market Risk with VaR (Value at Risk) [Angelovska, Julijana] 12-30-2013
A Suite-of-Models Approach to Stress Testing Fin.. [Andersen, Henrik][Berge, Tor O.][Bernhardsen, Eivind][Lindquist, Kjersti-Gro][Vatne, Bjorn Helge] 11-20-2013
VaR-Implied Tail-Correlation Matrices [Mittnik, Stefan] 11-10-2013
Complete Mixability and Asymptotic Equivalence o.. [Puccetti, Giovanni][Wang, Ruodu][Wang, Bin] 10-12-2013
Improved Estimation of the Covariance Matrix of .. [Ledoit, Olivier][Wolf, MIchael] 10-8-2013
Value at Risk yang memperhatikan sifat statistik.. [Surya, Yohanes][Situngkir, Hokky] 9-24-2013
Analysis of Risk using Value at Risk (VaR) After.. [Fadhila, Hasna][Rizal, Nora Amelda] 9-22-2013
Large Covariance Estimation by Thresholding Prin.. [Fan, Jianqing][Liao, Yuan][Mincheva, Martina] 9-1-2013
Estimating High Dimensional Covariance Matrices .. [Bai, Jushan][Shi, Shuzhong] 9-1-2013
Large-Sample Parametric Confidence Intervals for.. [Iscoe, Ian][Kreinin, Alex] 8-28-2013
Covariance Estimation in High Dimensions via Kro.. [Tsiligkaridis, Theodoros][Hero, Alfred O.] 8-27-2013
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