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Risk management with generalized hyperbolic distributions
7 references·0 citing·26 second hop
Risk management with generalized hyperbolic distributions (2007)Risk management with generalized hyperbol…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Calibration of multivariate generalized hyperbolic distributions using the em algorithm, with applications in risk management, portfolio optimization and portfolio credit risk (2005)Calibration of multivariate g…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Coherent Measures of Risk (1999)Coherent Measures of RiskTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Optimization of conditional value-at-risk (2000)Portfolio optimization for studenttand skewedtreturns (2009)Asymmetry in tail dependence in equity portfolios (2015)Modeling Financial Sector Joint Tail Risk in the Euro Area (2016)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)A review of copula models for economic time series (2012)Statistical Modeling of Spatial Extremes (2012)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2007The t Copula and Related Copulas964 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2005Calibration of multivariate generalized hyperbolic distributions using the em algorithm, with applications in risk management, portfolio optimization and portfolio credit risk60 cited

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