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Empirical Research on Relationships Between Marginal-VaR, Component-VaR and Incremental-VaR

2013
The aim of this dissertation is to investigate whether the relationships between Marginal-VaR, Component-VaR and Incremental-VaR demonstrated by Hallerbach (2002) are valid. Marginal-VaR, Component-VaR and Incremental-VaR contribute to portfolio managers to get more information on market risk of a portfolio and make better and faster investment ...
openaire   +1 more source

Risk spillovers between oil and stock markets: A VAR for VaR analysis

Energy Economics, 2019
Yudong Wang   +2 more
exaly  

MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area

International Journal of Forecasting, 2011
Massimiliano Marcellino   +1 more
exaly  

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