From forests to faucets to fuel : Investigating the domino effect of extreme risk in timber, water, and energy markets
Year of publication: |
2023
|
---|---|
Authors: | Naeem, Muhammad Abubakr ; Iqbal, Najaf ; Sitara Karim ; Lucey, Brian M. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 2, p. 1-8
|
Subject: | CAViaR | Oil and gas | Tail-risk spillovers | Water and timber |
-
Value at risk models in finance
Engle, Robert F., (2001)
-
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert, (2008)
-
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert, (2015)
- More ...
-
Naeem, Muhammad Abubakr, (2022)
-
Can US Dollar Shine More Than Bitcoin Against the Downside Risk of Regional Equity Markets?
Iqbal, Najaf, (2022)
-
Crash risk connectedness in commodity markets
Iqbal, Najaf, (2024)
- More ...