Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR
Year of publication: |
2019
|
---|---|
Authors: | Choi, Ji-Eun ; Shin, Dong-wan |
Subject: | Asymmetric correlation | contagion | CoVaR | delta-CoVaR | quasi maximum likelihood | systemic risk | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Korrelation | Correlation | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Risiko | Risk | Systemrisiko | Systemic risk | Risikomaß | Risk measure | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
-
Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio, (2013)
-
Conditional extremes in asymmetric financial markets
Nolde, Natalia, (2020)
-
Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao, (2023)
- More ...
-
Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates
Choi, Ji-Eun, (2018)
-
Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast
Choi, Ji-Eun, (2022)
-
Value at risk forecasting for volatility index
Park, Seul-Ki, (2017)
- More ...