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Showing
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1
Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena
-
2012
Schadenspotential und stellen eine große Herausforderung für das
Risikomanagement
der Banken dar. Verena Bayer untersucht Ansätze zur …
Persistent link: https://www.econbiz.de/10014016438
Saved in:
2
Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli
;
Zhang, Weiguo
;
Tan, Chunzhi
;
Liu, Xing
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
Saved in:
3
The impact of extreme events on portfolio in financial risk management
Chuangchid, K.
;
Kittawit Autchariyapanitkul
;
Songsak …
- In:
Robustness in econometrics
,
(pp. 679-690)
.
2017
Persistent link: https://www.econbiz.de/10011802012
Saved in:
4
A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Tong, Yongbo
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
Saved in:
5
Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
International economics : a journal published by CEPII …
156
(
2018
),
pp. 175-192
Persistent link: https://www.econbiz.de/10012027269
Saved in:
6
Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo
;
Liu, Lan
;
Wang, Da
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
Saved in:
7
Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li
;
Liu, Xi-Hua
;
Xiong, Xiong
- In:
Pacific-Basin finance journal
55
(
2019
),
pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
Saved in:
8
Efficient
estimation
of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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9
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
10
Financial contagion across major stock markets : a study during crisis episodes
BenMim, Imen
;
BenSaïda, Ahmed
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 187-201
Persistent link: https://www.econbiz.de/10012120229
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