Program > Parallel sessions
|
High dimensional covariance matrix estimation with l1-regularized factor models
Maurizio Daniele, Winfried Pohlmeier, Aygul Zagidulina
sciencesconf.org:qffe2018:195184 |
Testing for Extreme Volatility Transmission with Realized Volatility Measures
Elena Dumitrescu, Gilles de Truchis, Sessi Tokpavi, Christophe Boucher
sciencesconf.org:qffe2018:195966 |
Regression Based Expected Shortfall Backtesting
Timo Dimitriadis, Sebastian Bayer
sciencesconf.org:qffe2018:196418 |
Decomposing and backtesting a flexible specification for CoVaR
Giovanni Bonaccolto, Massimiliano Caporin, Sandra Paterlini
sciencesconf.org:qffe2018:196547 |
|
