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Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
16 references·3 citing·23 second hop
Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives (2012)Optimal and coherent economic-capital str…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)A Comparison of VaR and CVaR …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management (2020)Multivariate portfolio optimi…Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios (2015)Time lag dependence, cross-co…Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects (2013)Optimal and investable portfo…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Econometric Analysis of Cross Section and Panel Data (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Cross‐Section of Volatility and Expected Returns (2006)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

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  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 2015

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RiskMetrics Technical Document
661 cited
  • 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
  • Cited by

    • 2020Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management41 cited
    • 2013Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects38 cited
    • 2015Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios27 cited