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person:"Powell, Robert"
~person:"Blazsek, Szabolcs"
~subject:"ARCH-Modell"
~subject:"Australia"
~type:"article"
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Search: subject_exact:"Conditional value at risk"
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Powell, Robert
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
Saved in:
2
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
3
Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
45
,
pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
Saved in:
4
Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
Saved in:
5
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
Saved in:
6
The long and short of commodity tails and their relationship to Asian equity markets
Powell, Robert
;
Duc Hong Vo
;
Thach Ngoc Pham
;
Singh, …
- In:
Journal of Asian economics
52
(
2017
),
pp. 32-44
Persistent link: https://www.econbiz.de/10011928156
Saved in:
7
EVT and tail-risk modelling : evidence from market indices and volatility series
Allen, David E.
;
Singh, Abhay Kumar
;
Powell, Robert
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 355-369
Persistent link: https://www.econbiz.de/10010367580
Saved in:
8
The fluctuating default risk of Australian banks
Allen, David E.
;
Powell, Robert
- In:
Australian journal of management
37
(
2012
)
2
,
pp. 297-325
Persistent link: https://www.econbiz.de/10009630156
Saved in:
9
Transitional credit modelling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.
;
Powell, Robert
- In:
Accounting and finance : journal of the Accounting …
49
(
2009
)
3
,
pp. 425-444
Persistent link: https://www.econbiz.de/10003889276
Saved in:
10
Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.
;
Powell, Robert
- In:
The VaR implementation handbook
,
(pp. 403-414)
.
2009
Persistent link: https://www.econbiz.de/10003827094
Saved in:
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