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Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre; Maurer, Frantz - In: Economic modelling 67 (2017), pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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Risk estimation of CSI 300 index spot and futures in China from a new perspective
Suo, Yuan-Yuan; Wang, Dong-Hua; Li, Sai-Ping - In: Economic modelling 49 (2015), pp. 344-353
Persistent link: https://www.econbiz.de/10011439587
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Systemic risk of China's commercial banks during financial turmoils in 2010-2020 : a MIDAS-QR based CoVaR approach
Liu, Shuting; Xu, Qifa; Jiang, Cuixia - In: Applied economics letters 28 (2021) 18, pp. 1600-1609
Persistent link: https://www.econbiz.de/10012626719
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A model-based index for systemic risk contribution measurement in financial networks
Deng, Yang; Zhang, Ziqing; Zhu, Li - In: Economic modelling 95 (2021), pp. 35-48
Persistent link: https://www.econbiz.de/10012695628
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A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun; Jang, Hyun Jin; Choe, Geon Ho - In: Applied economics letters 27 (2020) 15, pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
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On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481
Persistent link: https://www.econbiz.de/10011647502