Search Results - subject:"Elliptical"

Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach

Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45

Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...

Persistent link: https://www.econbiz.de/10014234393

Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk

Kroon, Erik; Hacini, Mehdi-Vincent; Somefun, Koye - In: Quantitative finance 24 (2024) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10014551942

Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity

Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464

Persistent link: https://www.econbiz.de/10014552077

Optimal portfolio using Factor Graphical Lasso

Lee, Tae-hwy; Seregina, Ekaterina - In: Journal of financial econometrics 22 (2024) 3, pp. 670-695

Persistent link: https://www.econbiz.de/10015045168

Matrix-tilted Archimedean copulas

Hofert, Marius; Ziegel, Johanna F. - In: Risks 9 (2021) 4, pp. 1-24

The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical … factor for elliptical copulas. Basic properties of this copula construction are discussed and a further extension outlined. …

Persistent link: https://www.econbiz.de/10013200737

Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance

Hägele, Miriam; Lehtomaa, Jaakko - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-18

non-parametric shape constraint on the tail decay rate. This class contains, for instance, elliptical distributions whose …

Persistent link: https://www.econbiz.de/10012611759

Stress testing and systemic risk measures using elliptical conditional multivariate probabilities

Aste, Tomaso - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-17

probabilities are hard to estimate from observations. In this paper, I investigate the vast family of multivariate elliptical …

Persistent link: https://www.econbiz.de/10012611770

Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance

Hägele, Miriam; Lehtomaa, Jaakko - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18

non-parametric shape constraint on the tail decay rate. This class contains, for instance, elliptical distributions whose …

Persistent link: https://www.econbiz.de/10012534499

Stress testing and systemic risk measures using elliptical conditional multivariate probabilities

Aste, Tomaso - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-17

probabilities are hard to estimate from observations. In this paper, I investigate the vast family of multivariate elliptical …

Persistent link: https://www.econbiz.de/10012534607

Matrix-tilted Archimedean copulas

Hofert, Marius; Ziegel, Johanna F. - In: Risks : open access journal 9 (2021) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012508692

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