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Copulas and portfolio strategies : an applied risk management perspective
Berger, Theo; Missong, Martin - In: Journal of risk 17 (2014/15) 2, pp. 51-91
Persistent link: https://www.econbiz.de/10010476248
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Dynamic return-volatility dependence and risk measure of CoVaR in the oil market : a time-varying mixed copula model
Liu, Bing-Yue; Ji, Qiang; Fan, Ying - In: Energy economics 68 (2017), pp. 53-65
Persistent link: https://www.econbiz.de/10011904999
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Estimating "value at risk" of crude oil price and its spillover effect using the GED-GARCH approach
Fan, Ying; Zhang, Yue-jun; Tsai, Hsien-tang; Wei, Yi-Ming - In: Energy economics 30 (2008) 6, pp. 3156-3171
Persistent link: https://www.econbiz.de/10003777034
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Volatility spillover along the supply chains : a network analysis on economic links
Berger, Theo; Gençay, Ramazan - In: Journal of risk 22 (2019/2020) 5, pp. 83-113
Persistent link: https://www.econbiz.de/10012421694
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Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Ji, Qiang; Liu, Bing-Yue; Fan, Ying - In: Energy economics 77 (2019), pp. 80-92
Persistent link: https://www.econbiz.de/10012306349
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High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system
Liu, Bing-Yue; Fan, Ying; Ji, Qiang; Hussain, Nazim - In: Energy economics 105 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013201958
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Wavelet decompostion and applied portfolio management
Berger, Theo - In: Journal of risk 18 (2015/2016) 4, pp. 53-77
Persistent link: https://www.econbiz.de/10011578387
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An evaluation framework for oil import security based on the supply chain with a case study focused on China
Zhang, Hai-ying; Ji, Qiang; Fan, Ying - In: Energy economics 38 (2013), pp. 87-95
Persistent link: https://www.econbiz.de/10009763635