Search Results - subject:"tail"

Using structural models to understand macroeconomic tail risks : report of the WGEM-WGF Expert Group on Macro-at-Risk

Montes-Galdón, Carlos; Ajevskis, Viktors; Brázdik, … - 2024

) literature. This report examines how structural models can incorporate nonlinearities to generate tail risks. The first part … and generate positive spillovers to monetary policy. Finally, the report examines how other types of tail risk beyond …

Persistent link: https://www.econbiz.de/10015084449

When one domino falls, others follow : a machine learning analysis of extreme risk spillovers in developed stock markets

Sitara Karim; Muhammad Shafiullah; Naeem, Muhammad Abubakr - In: International review of financial analysis 93 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543472

The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises

Liu, Liping; Xu, Jietian; Li, Jixin - In: Finance research letters 64 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014531740

Dynamic CVaR portfolio construction with attention-powered generative factor learning

Sun, Chuting; Wu, Qi; Yan, Xing - In: Journal of economic dynamics & control 160 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014532506

Global uncertainty and the spillover of tail risk between green and Islamic markets : a time-frequency domain approach with portfolio implications

Syed Mabruk Billah; Alam, Md Rafayet; Mohammad Enamul Hoque - In: International review of economics & finance : IREF 92 (2024), pp. 1416-1433

Persistent link: https://www.econbiz.de/10014535109

The fatter the tail, the shorter the sail

Alsunbul, Saad; Alzugaiby, Basim; Chaudhry, Sajid M.; … - In: Accounting and finance 64 (2024) 1, pp. 331-380

Persistent link: https://www.econbiz.de/10014537491

Tail risk spillovers between Shanghai oil and other markets

Naeem, Muhammad Abubakr; Gul, Raazia; Muhammad Shafiullah; … - In: Energy economics 130 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014559260

Does systemic risk affect fund managers' tail risk-taking?

Xuan, Quansheng; Li, Zhiyong; Zhao, Tianyu - In: Pacific-Basin finance journal 83 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014491185

The determinants of systemic risk contagion

Sencer Atasoy, Burak; Ozkan, Ibrahim; Erden, Lütfi - In: Economic modelling 130 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014451156

Bank-specific factors, market conditions and the riskiness of Islamic and conventional banks : evidence from recent quantile approaches

Aydemir, Resul; Atan, Huzeyfe Zahit; Güloğlu, Bülent - In: International journal of Islamic and Middle Eastern … 17 (2024) 1, pp. 16-44

Persistent link: https://www.econbiz.de/10014478178