Search Results - subject:"Risk"

Model-free moments : predictability of STOXX Europe 600 Oil & Gas future returns

Capriotti, Alessio; Muzzioli, Silvia - 2024

Persistent link: https://www.econbiz.de/10014550830

Addressing unanticipated interactions in risk equalization : a machine learning approach to modeling medical expenditure risk

Ismail, I.; Stam, P. J. A.; Portrait, F. R. M.; … - In: Economic modelling 130 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014451138

Value-at-Risk

Qiu, Zhiguo; Lazar, Emese; Nakata, Keiichi - In: International review of financial analysis 92 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014492387

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1010-1025

Persistent link: https://www.econbiz.de/10015053528

Measuring tail risk

Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of econometrics 241 (2024) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10015075193

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE … 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We … explored which model specification and distributional innovation could best capture the tail risk in these assets. Using the …

Persistent link: https://www.econbiz.de/10015050054

Dynamic monitoring of financial security risks : a novel China financial risk index and an early warning system

Zhang, Wenyu - In: Economics letters 234 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015066371

Are reference measures of law-invariant functionals unique?

Liebrich, Felix-Benedikt - In: Insurance : mathematics and economics 118 (2024), pp. 129-141

Persistent link: https://www.econbiz.de/10015067038

The dynamic quantile approach for VaR estimation : empirical evidence from Indonesia banking industry

Saadah, Siti; Suhartoko, Yohanes B.; Uyanto, Stanislaus S. - In: Cogent business & management 11 (2024) 1, pp. 1-11

This study estimates value-at-risk (VaR) to measure foreign exchange risk in Indonesia's banking industry using … the development of an internal model that produces better risk measurements, a model that has not yet gained widespread …

Persistent link: https://www.econbiz.de/10014540205

Portfolio optimisation using alternative risk measures

Lorimer, Douglas Austen; Van Schalkwyk, Cornelis Hendrik; … - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061498