Portfolio risk and stress across the business cycle
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference39 articles.
1. Forecasting VaR using analytic higher moments for GARCH processes;Alexander;Int. Rev. Financ. Anal.,2013
2. On the covariance matrices used in value at risk models;Alexander;J. Deriv.,1997
3. Developing a stress testing framework based on market risk models;Alexander;J. Bank. Finance,2008
4. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?;Aloui;J. Bank. Finance,2011
5. Financial market contagion in the Asian crisis;Baig;IMF Staff Pap.,1999
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