Sensitivity analysis of volatility: a new tool for risk management
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- Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
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"Asset allocation in the Athens stock exchange: a variance sensitivity analysis,"
International Journal of Finance & Economics,
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- St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
More about this item
KeywordsDynamic Correlations; GARCH; risk management; Sensitivity Analysis;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2003-01-27 (Corporate Finance)
- NEP-FMK-2003-01-27 (Financial Markets)
- NEP-RMG-2003-01-27 (Risk Management)
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