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Commodity market risk from 1995 to 2013 : an extreme value theory approach
Fretheim, Torun; Kristiansen, Glenn - In: Applied economics 47 (2015) 25/27, pp. 2768-2782
Persistent link: https://www.econbiz.de/10010519613
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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
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Optimal hedge ratio under a subjective re-weighting of the original measure
Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280
Persistent link: https://www.econbiz.de/10011433130
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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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Conditional Sharpe ratios
Chow, Victor K.; Lai, Christine W. - In: Finance research letters 12 (2015), pp. 117-133
Persistent link: https://www.econbiz.de/10011552289
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Bank insolvency risk and Z-score measures : a refinement
Lepetit, Lætitia; Strobel, Frank - In: Finance research letters 13 (2015), pp. 214-224
Persistent link: https://www.econbiz.de/10011552521
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Do market prices aggregate information about macroeconomic uncertainty (or risk)?
Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534
Persistent link: https://www.econbiz.de/10011295329
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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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Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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How effective is the tail mean-variance model in the fund of fund selection? : an empirical study using various risk measures
Wang, Qiyu; Huang, Wenli; Wu, Xin; Zhang, Chao - In: Finance research letters 29 (2019), pp. 239-244
Persistent link: https://www.econbiz.de/10012418788