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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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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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Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
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A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo - In: Applied economics 55 (2023) 4, pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
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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
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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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Tail risk in emerging markets of Southeastern Europe
Totić, Selena; Božović, Miloš - In: Applied economics 48 (2016) 19/21, pp. 1785-1798
Persistent link: https://www.econbiz.de/10011589813
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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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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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