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Modelling and managing financial risk: An overview

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  • Allen, David E.
  • Gao, Jiti
  • McAleer, Michael

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  • Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:8:p:2521-2524
    DOI: 10.1016/j.matcom.2008.12.016
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    References listed on IDEAS

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    1. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
    2. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
    3. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2609-2624.
    4. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
    5. Thomas, Lyn C., 2009. "Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2525-2534.
    6. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    7. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
    8. Zhu, Jie, 2009. "Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2633-2653.
    9. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
    10. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(1), pages 232-261, February.
    11. Masahito Kobayashi & Xiuhong Shi, 2005. "Testing for EGARCH Against Stochastic Volatility Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 135-150, January.
    12. Lam, K.P. & Ng, H.S., 2009. "Intra-daily information of range-based volatility for MEM-GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2625-2632.
    13. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
    14. Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
    15. Esfandiar Maasoumi & Michael McAleer, 2008. "Realized Volatility and Long Memory: An Overview," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 1-9.
    16. Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
    17. Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L., 2009. "The impact of structural breaks on the integration of the ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2654-2664.
    18. Liu, Shuangzhe & Neudecker, Heinz, 2009. "On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2556-2565.
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    1. Gao, Jiti & McAleer, Michael & Allen, David E., 2008. "Econometric modelling in finance and risk management: An overview," Journal of Econometrics, Elsevier, vol. 147(1), pages 1-4, November.
    2. Xue, Jian & Ding, Jing & Zhao, Laijun & Zhu, Di & Li, Lei, 2022. "An option pricing model based on a renewable energy price index," Energy, Elsevier, vol. 239(PB).
    3. Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.

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