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Profil

TERRAZA Virginie

University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Economics and Management (DEM)

Main Referenced Co-authors
TOQUE, Carole  (4)
Razafitombo, Hery (3)
Mussard, Stéphane (2)
Nsouadi, Ange (2)
Rounaghi, Mohammad Mahdi (2)
Main Referenced Keywords
factor analysis (3); Decomposition (2); non linearity (2); Risk (2); Shapley (2);
Main Referenced Unit & Research Centers
CREA (3)
Main Referenced Disciplines
Finance (23)
Quantitative methods in economics & management (4)

Publications (total 29)

The most downloaded
2130 downloads
Terraza, V. (2015). The effect of bank size on risk ratios: implications of banks' performance. In Procedia Economics and Finance. Elsevier. https://hdl.handle.net/10993/21562

The most cited

16 citations (WOS)

Mussard, S., & Terraza, V. (2008). The shapley decomposition for risk portfolios. Applied Economics Letters, 15 (9), 713-715. doi:10.1080/13504850600748968 https://hdl.handle.net/10993/12148

Terraza, V., Boru İpek, A., & Rounaghi, M. M. (2023). The Nexus Between the Volatility of Bitcoin, Gold, and American Stock Markets during the COVID-19 Pandemic: Evidence from VAR-DCC-EGARCH and ANN Models. Financial Innovation. doi:10.1186/s40854-023-00520-3
Peer Reviewed verified by ORBi

Nsouadi, A., & Terraza, V. (2022). The multi-scale analysis of dynamic transmission volatility of carbon prices. Economics Bulletin.
Peer Reviewed verified by ORBi

Bourbonnais, R., & Terraza, V. (2022). Analyse des Séries Temporelles. Dunod.

Terraza, V., Boru İpek, A., & Rounaghi, M. M. (2022). Investigating the nexus between Volatilities of Bitcoin, Gold, and American Stock Markets during the COVID-19 Pandemic: Evidence from ARMA-DCC-GARCH and NAR-NN Models. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/52269.

Terraza, V., & Toque, C. (2021). Cluster Analysis for Investment funds portfolio optimisation: A symbolic data approach. In financial Risk Management and Modeling (pp. 163-187). Springer.
Peer reviewed

Clausel, M., Lejay, A., & Terraza, V. (2020). The signature method : a new tool enhancing time series clustering. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/45173.

Lardic, S., & Terraza, V. (2019). Financial ratios analysis in determination of bank performance in the German banking sector. International Journal of Economics and Financial Issues.
Peer Reviewed verified by ORBi

Limam, M.-A., Terraza, V., & Terraza, M. (2017). Hedge Fund Return Dynamics: Long Memory and Regime Switching. International Journal of Financial Research.
Peer reviewed

Nsouadi, A., & Terraza, V. (2016). Multiscale hedge ratio between the spot and future prices of carbon: Wavelet Based Approach. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/29403.

Nsaoudi, A., & Terraza, V. (2016). Wavelet Dynamic Conditional Correlation GARCH model : WDCC-GARCH. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/29547.

Terraza, V. (2015). The effect of bank size on risk ratios: implications of banks' performance. In Procedia Economics and Finance. Elsevier.
Peer reviewed

Terraza, V. (2015). Comportement des banques européennes face à la crise. Land.

Toque, C., & Terraza, V. (2014). Histogram valued data on Value at Risk measures: a symbolic approach for risk attribution. Applied Economics Letters. doi:10.1080/13504851.2014.920467
Peer reviewed

LIMAM, M.-A., & Terraza, V. (2014). Hedge Fund Return Dynamics: long memory and regime switching. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/20147.

Terraza, V., & Razafitombo, H. (Eds.). (2013). Understanding Investment Funds- Insights from performance and risk analysis. London, United Kingdom: Palgrave. doi:10.1057/9781137273611

Terraza, V., & Toque, C. (2013). Analyse statistique pour la gestion bancaire et financière. Bruxelles, Belgium: de boeck.

Laube, F., Schiltz, J., & Terraza, V. (2011). On the efficiency of Risk measures for Funds of Hedge Funds. Journal of Derivatives and Hedge Funds, 17 (1), 63-84. doi:10.1057/jdhf.2011.3
Peer Reviewed verified by ORBi

Terraza, V., & Razafitombo, H. (2011). The fund Synthetic Index : An alternative benchmark for mutual funds. Bankers, Markets, Investors [=BMI], 114.
Peer reviewed

Terraza, V., & Toque, C. (2011). Time series factorial models with uncertainty measures: applications to ARMA processes and financial data. Communications in Statistics: Theory and Methods, 40 (9), 1533-1544. doi:10.1080/03610920903537277
Peer reviewed

Razafitombo, H., & Terraza, V. (2011). A structural analysis of mutual fund performance: a comparative study for domiciliation places. Journal of Index Investing, 1 (4), 81-91.
Peer reviewed

Terraza, V. (2010). Modélisation de la Value at Risk:une évaluation du modèle Riskmetrics. Sarrebruck, Germany: Editions universitaires européennes.

Terraza, V., & Toque, C. (2009). Funds Rating: the predictive power. Euro-Mediterranean Economics and Finance Review, 4 (4).
Peer Reviewed verified by ORBi

Terraza, V., & Toque, C. (2009). The predictive Power of Fund Ratings with a novel approach using uncertainty measures to analyzing risk. Decisions in Economics and Finance, 32 (2), 149-160. doi:10.1007/s10203-009-0091-x
Peer reviewed

Terraza, V., & Karadeloglou, P. (Eds.). (2008). Exchange rates and macroeconomic dynamics. London, United Kingdom: Palgrave.

Mussard, S., & Terraza, V. (2008). The shapley decomposition for risk portfolios. Applied Economics Letters, 15 (9), 713-715. doi:10.1080/13504850600748968
Peer reviewed

Kyrtsou, C., & Terraza, V. (2008). Value at Risk, Outliers and Chaotic Dynamics. In M. COSTANTINO & M. LARRAN (Eds.), Computational Finance and its Applications III. Southampton, United Kingdom: WIT Press.

Terraza, V., & Mussard, S. (2007). New trading risk indexes: application of the shapley value in finance. Economics Bulletin, 3 (25), 1-7.
Peer Reviewed verified by ORBi

Terraza, V., Neuberg, L., & Louargant, C. (2006). Timing inconsistencies in the calculation of Funds of funds Net Asset Value. Fundexpert, 0-5.

Terraza, V. (2004). Seasonal asymmetric persistence in volatility: an extension of GARCH models. In Wessex Institute of Technology (Ed.), Computational Finance and its Applications (pp. 9). Southampton, United Kingdom: WIT Press.

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