3 July 2008

Special issue: Measurement and application of risk in economics and finance

International Journal of Monetary Economics and Finance 1(2) 2008
  • Semiparametric estimation of dynamic conditional expected shortfall models
  • Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation
  • Risk budgeting and Value-at-Risk
  • Country financial and political risk: the case of Indonesia, Malaysia and Philippines
  • Estimating integrated volatility using absolute high-frequency returns
  • An empirical comparison of alternative models in estimating Value-at-Risk: evidence and application from the LSE
  • On the role of volatility for modelling risk exposure

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