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Asset Allocation Using Extreme Value Theory

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References

1998Extreme Returns, Downside Risk, and Optimal Asset Allocation107 cited
2008Affine Term-Structure Models: Theory and Implementation90 cited
2021Steps in Applying Extreme Value Theory to Finance: A Review73 cited
2021The Resolution of International Financial Crises: Private Finance and Public Funds55 cited
2021Evaluating Factor Models: An Application to Forecasting Inflation in Canada50 cited
2021Why Do Central Banks Smooth Interest Rates?32 cited
2021Price-Level versus Inflation Targeting in a Small Open Economy16 cited
2021On Inflation and the Persistence of Shocks to Output12 cited

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2021Modelling Financial Instability: A Survey of the Literature18 cited

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