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~person:"Chang, Chia-Lin"
~person:"Chen, Yi-Hsuan"
~person:"Liu, Bing-Yue"
~subject:"Value-at-risk"
~subject:"Volatility"
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Value-at-risk
Volatility
Risikomaß
38
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37
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26
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19
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16
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16
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Chang, Chia-Lin
Chen, Yi-Hsuan
Liu, Bing-Yue
McAleer, Michael
43
Hammoudeh, Shawkat
15
Caporin, Massimiliano
13
Allen, David E.
12
Daníelsson, Jón
12
Asai, Manabu
11
Paolella, Marc S.
10
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9
Mensi, Walid
9
Mittnik, Stefan
8
Xu, Dinghai
8
Gupta, Rangan
7
Härdle, Wolfgang
7
Ji, Qiang
7
Kang, Sang Hoon
7
Mora-Valencia, Andrés
7
Perote, Javier
7
Scharth, Marcel
7
Wirjanto, Tony S.
7
Ardia, David
6
Bianchi, Michele Leonardo
6
Bollerslev, Tim
6
Giot, Pierre
6
Haas, Markus
6
Kumar, Dilip
6
Pérez Amaral, Teodosio
6
Taamouti, Abderrahim
6
Tiwari, Aviral Kumar
6
Tu, Anthony H.
6
Al-Yahyaee, Khamis Hamed
5
Aloui, Chaker
5
Bee, Marco
5
Billio, Monica
5
Chen, Cathy W. S.
5
Chiang, Thomas C.
5
Fabozzi, Frank J.
5
Floros, Christos
5
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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ECONIS (ZBW)
21
RePEc
3
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1
High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system
Liu, Bing-Yue
;
Fan, Ying
;
Ji, Qiang
;
Hussain, Nazim
- In:
Energy economics
105
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013201958
Saved in:
2
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
3
Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
Ji, Qiang
;
Liu, Bing-Yue
;
Zhao, Wan-Li
;
Fan, Ying
- In:
International review of financial analysis
68
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012301045
Saved in:
4
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
5
Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Ji, Qiang
;
Liu, Bing-Yue
;
Fan, Ying
- In:
Energy economics
77
(
2019
),
pp. 80-92
Persistent link: https://www.econbiz.de/10012306349
Saved in:
6
Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach
Ji, Qiang
;
Liu, Bing-Yue
;
Nehler, Henrik
;
Uddin, …
- In:
Energy economics
76
(
2018
),
pp. 115-126
Persistent link: https://www.econbiz.de/10011976598
Saved in:
7
A factor-based approach of bond portfolio value-at-risk : the informational roles of macroeconomic and financial stress factors
Tu, Anthony H.
;
Chen, Yi-Hsuan
- In:
Journal of empirical finance
45
(
2018
),
pp. 243-268
Persistent link: https://www.econbiz.de/10012102413
Saved in:
8
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
9
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
10
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724823
Saved in:
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