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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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A semi-parametric approach to estimating the operational risk and Expected Shortfall
Tursunalieva, Ainura; Silvapulle, Paramsothy - In: Applied economics 46 (2014) 28/30, pp. 3659-3672
Persistent link: https://www.econbiz.de/10010419979
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A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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Extreme risk spillovers between crude oil and stock markets
Du, Limin; He, Yanan - In: Energy economics 51 (2015), pp. 455-465
Persistent link: https://www.econbiz.de/10011564907
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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
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Tail risk of electricity futures
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518716
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Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386