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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

Persistent link: https://www.econbiz.de/10008825760

Typology for flight-to-quality episodes and downside risk measurement

Gubareva, Mariya; Borges, Maria Rosa - In: Applied economics 48 (2016) 10/12, pp. 835-853

Persistent link: https://www.econbiz.de/10011432728

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

The impact of financial crises on the risk-return tradeoff and the leverage effect

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Economic modelling 49 (2015), pp. 407-418

Persistent link: https://www.econbiz.de/10011439598

Uncertainty and episodes of extreme capital flows in the Euro Area

Schmidt, Torsten; Zwick, Lina - In: Economic modelling 48 (2015), pp. 343-356

Persistent link: https://www.econbiz.de/10011456918

A gradient boosting approach to estimating tail risk interconnectedness

Long, Yunshen; Zeng, LinQing; Wang, Jing; Long, Xingchen; … - In: Applied economics 54 (2022) 8, pp. 862-879

Persistent link: https://www.econbiz.de/10012874756

Global financial interconnectedness : a non-linear assessment of the uncertainty channel

Candelon, Bertrand; Ferrara, Laurent; Joëts, Marc - In: Applied economics 53 (2021) 25, pp. 2865-2887

Persistent link: https://www.econbiz.de/10012517038

An equilibrium-based measure of systemic risk

Ivanov, Katerina; Schulte, James; Tian, Weidong; Tseng, … - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-24

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...

Persistent link: https://www.econbiz.de/10012628273

Modeling retirees' investment behaviors in the presence of health expenditure risk and financial crisis risk

Gao, Xiang; Sun, Li - In: Economic modelling 94 (2021), pp. 442-454

Persistent link: https://www.econbiz.de/10012695091

The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach

Gregoriou, Greg N.; Racicot, François-Éric; Théoret, … - In: Economic modelling 94 (2021), pp. 843-872

Persistent link: https://www.econbiz.de/10012695357