Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

P. Silvapulle; C.W.J. Granger

doi:10.1080/713665877

Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

Quantitative Finance ◽

10.1080/713665877 ◽

2001 ◽

Vol 1 (5) ◽

pp. 542-551 ◽

Cited By ~ 53

Author(s):

P. Silvapulle ◽

C.W.J. Granger

Keyword(s):

At Risk ◽

Value At Risk ◽

Portfolio Diversification ◽

Conditional Correlation ◽

A Value ◽

Risk Approach

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Central bank vulnerability and the credibility of its commitments: a value-at-risk approach

The Journal of Risk ◽

10.21314/jor.1999.017 ◽

1999 ◽

Vol 2 (1) ◽

pp. 37-55 ◽

Cited By ~ 8

Author(s):

Mario Blejer ◽

Liliana Schumacher

Keyword(s):

At Risk ◽

Central Bank ◽

Value At Risk ◽

A Value ◽

Risk Approach

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Measuring risk spillover effects on dry bulk shipping market: a value-at-risk approach

Maritime Policy & Management ◽

10.1080/03088839.2021.1889064 ◽

2021 ◽

pp. 1-19

Author(s):

Jialin Yang ◽

Xin Zhang ◽

Ying-En Ge

Keyword(s):

At Risk ◽

Value At Risk ◽

Spillover Effects ◽

A Value ◽

Bulk Shipping ◽

Risk Approach ◽

Risk Spillover Effects

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Do hedge funds have enough capital? A value-at-risk approach

Journal of Financial Economics ◽

10.1016/j.jfineco.2004.06.005 ◽

2005 ◽

Vol 77 (1) ◽

pp. 219-253 ◽

Cited By ~ 79

Author(s):

A GUPTA ◽

B LIANG

Keyword(s):

At Risk ◽

Hedge Funds ◽

Value At Risk ◽

A Value ◽

Risk Approach

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Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees

Risk Management ◽

10.1007/3-540-26993-2_20 ◽

2005 ◽

pp. 407-419

Author(s):

Peter Albrecht ◽

Carsten Weber

Keyword(s):

At Risk ◽

Interest Rate ◽

Life Insurance ◽

Value At Risk ◽

Insurance Companies ◽

Asset Liability Management ◽

Liability Management ◽

A Value ◽

Risk Approach ◽

German Life

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A Value at Risk Approach to Risk-Return Analysis

The Journal of Portfolio Management ◽

10.3905/jpm.2004.412328 ◽

2004 ◽

Vol 30 (3) ◽

pp. 124-127

Author(s):

Xueting Huang

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Return ◽

A Value ◽

Risk Approach

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Pricing and two-dimensional warranty policy of multi-products with online and offline channels using a value-at-risk approach

Computers & Industrial Engineering ◽

10.1016/j.cie.2020.106674 ◽

2020 ◽

Vol 148 ◽

pp. 106674 ◽

Cited By ~ 1

Author(s):

Ata Allah Taleizadeh ◽

Mahdi Mokhtarzadeh

Keyword(s):

At Risk ◽

Value At Risk ◽

Two Dimensional ◽

A Value ◽

Risk Approach ◽

Offline Channels

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A Value at Risk Approach to Risk–Return Analysis

CFA Digest ◽

10.2469/dig.v30.n1.647 ◽

2000 ◽

Vol 30 (1) ◽

pp. 100-100

Author(s):

Stephen M. Horan

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Return ◽

A Value ◽

Risk Approach

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Compensation Policies and Risk in Service Level Agreements: A Value-at-Risk Approach under the ON-OFF Service Model

Economics of Converged, Internet-Based Networks - Lecture Notes in Computer Science ◽

10.1007/978-3-642-24547-3_2 ◽

2011 ◽

pp. 2-13 ◽

Cited By ~ 15

Author(s):

Loretta Mastroeni ◽

Maurizio Naldi

Keyword(s):

At Risk ◽

Value At Risk ◽

Service Level ◽

Service Level Agreements ◽

Service Model ◽

A Value ◽

Risk Approach

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A VALUE-AT-RISK APPROACH TO ASSESS EXCHANGE RISK ASSOCIATED TO A PUBLIC DEBT PORTFOLIO: THE CASE OF A SMALL DEVELOPING ECONOMY

World Scientific Studies in International Economics - Risk Management and Value ◽

10.1142/9789812770745_0002 ◽

2008 ◽

pp. 11-60 ◽

Cited By ~ 1

Author(s):

Wissem Ajili

Keyword(s):

At Risk ◽

Public Debt ◽

Value At Risk ◽

Developing Economy ◽

A Value ◽

Exchange Risk ◽

Risk Approach

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Using a Value at Risk Approach to Enhance Tactical Asset Allocation

SSRN Electronic Journal ◽

10.2139/ssrn.879522 ◽

2005 ◽

Author(s):

John Okunev

Keyword(s):

At Risk ◽

Asset Allocation ◽

Value At Risk ◽

A Value ◽

Tactical Asset Allocation ◽

Risk Approach

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