Publisher
Springer International Publishing
Reference29 articles.
1. Andreou, E., & Ghysels, E. (2009). Structural breaks in financial time series. In T. G. Anderson, R. A. Davis, J.-P. Kreiβ, & T. Mikosch (Eds.), Handbook of financial time series. Springer.
2. Bruder, B., & Roncalli, T. (2012). Managing risk exposures using the risk budgeting approach. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2009778
3. Boudt, K., Carl, P., & Peterson, B. G. (2013). Asset allocation with conditional value-at-risk budgets. Journal of Risk, 15, 39–68.
4. Boudt, K., Peterson, B. G., & Christophe, C. (2008). Estimation and decomposition of downside risk for portfolios with non-normal returns. Journal of Risk, 11, 79–103.
5. Cattell, R. (1966). The screen test for the number of factors. Multivariate Behavioral Research, 1, 245–276.