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« edellinen | seuraava »
| Tekijä: | Koedjik, K. Palm, F. Wolff, C. |
| Otsikko: | Editorial |
| Lehti: | Journal of Empirical Finance
2000 : NOV, VOL. 7:3-4, p. v-vii |
| Asiasana: | FINANCIAL MARKETS RISK MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | This special issue deals with risk management and contains the following papers: Sensitivity analysis of values at risk (C. Gouriéroux, J.P. Laurent and O. Scaillet); Portfolio selection with limited downside risk (D. Jansen, K. Koedjik and C. de Vries); Estimation of tail-related risk measures for heteroskedastic financial time series: an extreme value approach (A.J. McNeil and R. Frey); Horizon sensitivity of the inflation hedge of stocks (P. Schotman and M. Schweitzer); Firms, do you know your currency risk exposure? (C. Loderer and K. Pichler); Volatility dynamics under duration-dependent mixing (J.M. Matheu and T.H. McCurdy); Stochastic correlation accross international stock markets (C.A. Ball and W.N. Torous); Diagnosing and treating the fat tails in financial returns data (S. Mittnik, M.S. Paolella and S.T. Rachev) |
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