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~isPartOf:"CFS working paper series"
~isPartOf:"Economics letters"
~isPartOf:"Energy economics"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of international financial markets, institutions & money"
~isPartOf:"Journal of risk"
~isPartOf:"Statistical Papers / Springer"
~subject:"Risk measure"
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Search: subject:"Multivariate"
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Risk measure
Multivariate distribution
113
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112
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99
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75
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75
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67
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1
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CFS working paper series
Economics letters
Energy economics
Journal of forecasting
Journal of international financial markets, institutions & money
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Statistical Papers / Springer
Insurance / Mathematics & economics
30
The North American journal of economics and finance : a journal of financial economics studies
18
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17
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5
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5
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Computers & operations research : and their applications to problems of world concern ; an international journal
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ECONIS (ZBW)
42
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1
A
multivariate
GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
2
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
3
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
4
The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Tian, Maoxi
;
El Khoury, Rim
;
Alshater, Muneer Maher
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014246021
Saved in:
5
Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model
Tian, Maoxi
;
Alshater, Muneer Maher
;
Yoon, Seong-min
- In:
Energy economics
115
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013541787
Saved in:
6
Portfolio risk and stress across the business cycle
Chakraborty, Sandip
;
Kakani, Ram Kumar
;
Sampath, Aravind
- In:
Journal of international financial markets, …
80
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013533149
Saved in:
7
A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
Saved in:
8
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
9
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
10
The relationship between energy and equity markets : evidence from volatility impulse response functions
Olson, Eric
;
Vivian, Andrew J.
;
Wohar, Mark E.
- In:
Energy economics
43
(
2014
),
pp. 297-305
Persistent link: https://www.econbiz.de/10010504812
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