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Value-at-Risk under Lévy GARCH models: Evidence from global stock markets
The aim of this paper is to reconsider the evidence on the forecasting ability of GARCH-type
models in estimating the Value-at-Risk (VaR) of global stock market indices with improved …
models in estimating the Value-at-Risk (VaR) of global stock market indices with improved …
Dynamic currency hedging with non-Gaussianity and ambiguity
This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. It provides theoretical and empirical evidence that …
diversified investors with ambiguity. It provides theoretical and empirical evidence that …
[PDF][PDF] Journal of International Financial Markets, Institutions & Money
HC Chen, PG Shu, SJ Chiang - 2010 - durham-repository.worktribe.com
[HTML][HTML] The univariate collapsing method for portfolio optimization
MS Paolella - Econometrics, 2017 - mdpi.com
The univariate collapsing method (UCM) for portfolio optimization is based on obtaining the
predictive mean and a risk measure such as variance or expected shortfall of the univariate …
predictive mean and a risk measure such as variance or expected shortfall of the univariate …
Dynamic Currency Hedging with Non-Gaussianity and Ambiguity
U Ulrych, P Polak - Swiss Finance Institute Research Paper, 2023 - zora.uzh.ch
This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be …
diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be …
[การอ้างอิง][C] Statement for the Special Issue in Honor of Michael McAleer
Mike served on the editorial board of the Annals of Financial Economics (AFE) for more than
16 years and was the Editor-in-Chief since 2016. Mike was a wonderful friend, colleague …
16 years and was the Editor-in-Chief since 2016. Mike was a wonderful friend, colleague …