المؤلفون: Sahar Charfi, Farouk Mselmi

المصدر: Quantitative Finance and Economics, Vol 6, Iss 2, Pp 206-222 (2022)

مصطلحات موضوعية: garch, normal tempered stable distribution, exchange rate volatility, Applied mathematics. Quantitative methods, T57-57.97, Finance, HG1-9999

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2573-0134

URL الوصول: https://doaj.org/article/2c83fc0a26d8415c81e24f59d1bcb961

المؤلفون: Peng, Cheng, Kim, Young Shin, Mittnik, Stefan

مصطلحات موضوعية: ddc:650, conditional value-at-risk, conditional drawdown-at-risk, GARCH model, Markov regime-switching model, normal tempered stable distribution, portfolio optimization

Relation: gbv-ppn:1809932742; Journal: Journal of Risk and Financial Management; Volume: 15; Year: 2022; Issue: 5; Pages: 1-23; http://hdl.handle.net/10419/274752

الاتاحة: http://hdl.handle.net/10419/274752
https://doi.org/10.3390/jrfm15050230

المؤلفون: Kim, Young Shin, Roh, Kum-Hwan, Douady, Raphaël

المساهمون: Stony Brook University SUNY (SBU), State University of New York (SUNY), Hannam University (HNU), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)

المصدر: https://hal-paris1.archives-ouvertes.fr/hal-03018495 ; 2020.

مصطلحات موضوعية: Option Pricing, Stochastic exponential tail, Volatility of volatility, Normal tempered stable distribution, Levy Process, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], [STAT.AP]Statistics [stat]/Applications [stat.AP], [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN], [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM], [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.ST]Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST]

Relation: hal-03018495; https://hal-paris1.archives-ouvertes.fr/hal-03018495; https://hal-paris1.archives-ouvertes.fr/hal-03018495/document; https://hal-paris1.archives-ouvertes.fr/hal-03018495/file/draft_Proof_hi%20%282%29.pdf

الاتاحة: https://hal-paris1.archives-ouvertes.fr/hal-03018495
https://hal-paris1.archives-ouvertes.fr/hal-03018495/document
https://hal-paris1.archives-ouvertes.fr/hal-03018495/file/draft_Proof_hi%20%282%29.pdf

المؤلفون: Kum-Hwan Roh, Raphael Douady, Young Shin Kim

المساهمون: Stony Brook University [SUNY] (SBU), State University of New York (SUNY), Hannam University (HNU), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)

المصدر: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2021, pp.1-21. ⟨10.1080/14697688.2021.1962958⟩

مصطلحات موضوعية: Volatility of volatility, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM], Computational Finance (q-fin.CP), [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], Lévy process, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], FOS: Economics and business, Quantitative Finance - Computational Finance, 0502 economics and business, Normal tempered stable distribution, Stochastic exponential tail, Applied mathematics, 050207 economics, Time series, Option Pricing, ComputingMilieux_MISCELLANEOUS, Mathematics, [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN], [STAT.AP]Statistics [stat]/Applications [stat.AP], 050208 finance, 05 social sciences, [QFIN.ST]Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST], Stable distribution, Exponential function, Valuation of options, Levy Process, General Economics, Econometrics and Finance, Finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8c064f652b8095da14cc15b16962c1c1
https://hal-paris1.archives-ouvertes.fr/hal-03018495/document

المؤلفون: Peng, Cheng, Kim, Young Shin, Mittnik, Stefan

المصدر: Journal of Risk and Financial Management; Volume 15; Issue 5; Pages: 230

مصطلحات موضوعية: FOS: Economics and business, Portfolio Management (q-fin.PM), Quantitative Finance - Mathematical Finance, Markov regime-switching model, GARCH model, normal tempered stable distribution, portfolio optimization, conditional drawdown-at-risk, conditional value-at-risk, Risk Management (q-fin.RM), education, Mathematical Finance (q-fin.MF), Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::035a7c033980707db5d344201bba24fb

المؤلفون: Kim, Young Shin, Giacometti, Rosella, Rachev, Svetlozar T., Fabozzi, Frank J., Mignacca, Domenico

مصطلحات موضوعية: ddc:330, C58, C61, G11, G32, portfolio risk, portfolio optimization, portfolio budgeting, marginal contribution, fat-tailed distribution, multivariate normal tempered stable distribution

Relation: Series: KIT Working Paper Series in Economics; No. 44; gbv-ppn:721568815; urn:nbn:de:swb:90-293075; http://hdl.handle.net/10419/62001; RePEc:zbw:kitwps:44

الاتاحة: http://hdl.handle.net/10419/62001
https://nbn-resolving.org/urn:nbn:de:swb:90-293075
https://doi.org/10.5445/IR/1000029307

المؤلفون: Abhinav Anand, Tiantian Li, Aaron Kim, Tetsuo Kurosaki

مصطلحات موضوعية: Multivariate statistics, Economics and Econometrics, Value-at-Risk (VaR), Financial economics, Quadratic equation, Foster-Hart risk, Spectral risk measure, Average Value-at-Risk (AVaR), 0502 economics and business, Normal tempered stable distribution, Econometrics, Economics, 050207 economics, Stock (geology), Transaction cost, 050208 finance, 05 social sciences, Financial market, Equity (finance), Market microstructure, Expected shortfall, Reward risk ratio, Portfolio, Portfolio optimization, ARMA–GARCH model, Finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9f78291ac6e5f26648b17ef9041718f

المؤلفون: Anand, Abhinav, Li, Tiantian, Kurosaki, Tetsuo, Kim, Young Shin

مصطلحات موضوعية: ARMA–GARCH model, Normal tempered stable distribution, Foster-Hart risk, Value-at-Risk (VaR), Average Value-at-Risk (AVaR), Reward risk ratio

Relation: Journal of Banking and Finance; http://hdl.handle.net/10197/7771; 68; 117; 130

الاتاحة: http://hdl.handle.net/10197/7771
https://doi.org/10.1016/j.jbankfin.2016.03.011

المؤلفون: Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim, Domenico Mignacca, Svetlozar T. Rachev

مصطلحات موضوعية: Multivariate statistics, jel:C61, General Decision Sciences, Multivariate normal distribution, Management Science and Operations Research, Black–Litterman model, portfolio optimization, Portfolio risk, portfolio budgeting, marginal contribution, fat-tailed distribution, multivariate normal tempered stable distribution, Computer Science::Computational Engineering, Finance, and Science, Econometrics, Economics, Post-modern portfolio theory, Modern portfolio theory, portfolio risk,portfolio optimization,portfolio budgeting,marginal contribution,fat-tailed distribution,multivariate normal tempered stable distribution, Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie, jel:C58, jel:G32, jel:G11, Fat-tailed distribution, Portfolio, Portfolio optimization

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2adb7f675a680ba8a80e1d25775cf8b4
https://www.econstor.eu/bitstream/10419/62001/1/721568815.pdf

المؤلفون: GIACOMETTI, Rosella

المساهمون: Kim, YOUNG SHIN, Giacometti, Rosella, Rachev, SVETLOZAR T., Fabozzi, FRANK J., Mignacca, Domenico

مصطلحات موضوعية: Portfolio risk, portfolio optimization, portfolio budgeting, marginal contribution, fat-tailed distribution, multivariate normal tempered stable distribution, Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie

وصف الملف: text; remote

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000312070500017; volume:201; issue:1; firstpage:325; lastpage:343; journal:ANNALS OF OPERATIONS RESEARCH; http://hdl.handle.net/10446/27665; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84870511854; http://link.springer.com/journal/10479

الاتاحة: http://hdl.handle.net/10446/27665
https://doi.org/10.1007/s10479-012-1229-8
http://link.springer.com/journal/10479