Found: 13
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Extreme price moves: an INGARCH approach to model coexceedances in commodity markets.
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- European Review of Agricultural Economics, 2021, v. 48, n. 4, p. 878, doi. 10.1093/erae/jbaa030
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- Article
The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model.
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- Risks, 2020, v. 8, n. 3, p. 71, doi. 10.3390/risks8030071
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- Article
CARL and His POT: Measuring Risks in Commodity Markets.
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- Risks, 2020, v. 8, n. 1, p. 27, doi. 10.3390/risks8010027
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- Article
Message in a bottle: Forecasting wine prices.
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- Journal of Wine Economics, 2024, v. 19, n. 1, p. 64, doi. 10.1017/jwe.2024.3
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- Article
A novel robust method for estimating the covariance matrix of financial returns with applications to risk management.
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- Financial Innovation, 2024, v. 10, n. 1, p. 1, doi. 10.1186/s40854-024-00642-2
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- Article
HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 8, p. -1, doi. 10.1142/S0219024912500586
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- Article
A reduced lattice model for option pricing under regime-switching.
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- Review of Quantitative Finance & Accounting, 2014, v. 42, n. 4, p. 667, doi. 10.1007/s11156-013-0357-9
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- Article
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1039, doi. 10.1007/s10479-022-05059-7
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- Article
Multilevel and Tail Risk Management*.
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- Journal of Financial Econometrics, 2022, v. 20, n. 5, p. 839, doi. 10.1093/jjfinec/nbaa044
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- Article
Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method.
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- Journal of Derivatives, 2014, v. 22, n. 2, p. 67, doi. 10.3905/jod.2014.22.2.067
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- Article
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint.
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- Computational Management Science, 2023, v. 20, n. 1, p. 1, doi. 10.1007/s10287-023-00439-1
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- Article
Forecasting cryptocurrencies returns: Do macroeconomic and financial variables improve tail expectation predictions?
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- Quality & Quantity, 2024, v. 58, n. 3, p. 2647, doi. 10.1007/s11135-023-01761-1
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- Article
A regime switching Ohlson model.
- Published in:
- Quality & Quantity, 2015, v. 49, n. 5, p. 2015, doi. 10.1007/s11135-014-0088-6
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- Article