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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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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 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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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
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Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis
Fatnassi, Ibrahim; Hammami, Yacine - In: Applied economics letters 31 (2024) 11, pp. 1037-1044
Persistent link: https://www.econbiz.de/10014557987
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Systemically important financial institutions in China : from view of tail risk spillover network
Yang, Xin; Chen, Shan; Liu, Zhifeng; Yang, Xiaoguang; … - In: Applied economics letters 29 (2022) 19, pp. 1833-1839
Persistent link: https://www.econbiz.de/10013412314
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Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le - In: Journal of forecasting 43 (2024) 2, pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets
Huang, Wei-Qiang; Zhang, Jing; Liu, Peipei - In: Applied economics letters 30 (2023) 10, pp. 1318-1326
Persistent link: https://www.econbiz.de/10014304235