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Financial variables as predictors of real growth vulnerability
Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020
Persistent link: https://www.econbiz.de/10012200643
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Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX
Hilal, Sawsan; Poon, Ser-Huang; Tawn, Jonathan - In: Journal of banking & finance 35 (2011) 9, pp. 2374-2387
Persistent link: https://www.econbiz.de/10009247196
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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Estimating non-linear serial and cross-interdependence between financial assets
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of banking & finance 37 (2013) 3, pp. 837-846
Persistent link: https://www.econbiz.de/10009708737
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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
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Pricing and hedging of derivatives in contagious markets
Kokholm, Thomas - In: Journal of banking & finance 66 (2016), pp. 19-34
Persistent link: https://www.econbiz.de/10011634490
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Special Issue: recent developments in financial econometrics and applications
Narayan, Paresh Kumar (ed.); Nielsen, Morten Ørregaard (ed.) - 2015
Persistent link: https://www.econbiz.de/10011584435
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Connecting the dots : econometric methods for uncovering networks with an application to the Australian financial institutions
Anufriev, Mikhail; Panchenko, Valentyn - In: Journal of banking & finance 61 (2015) 2, pp. 241-255
Persistent link: https://www.econbiz.de/10011586916
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Simulating fire sales in a system of banks and asset managers
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - In: Journal of banking & finance 138 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013461958