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Bayesian Tail Risk Forecasting...
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Al-Yahyaee, Khamis Hamed
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Sensitivity-based Conditional Value at Risk (SCVaR) : an efficient measurement of credit exposure for options
Shi, Ruoshi
;
Zhao, Yanlong
;
Bao, Ying
;
Peng, Cheng
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539080
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2
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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3
Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies : portfolio risk management implications
Mensi, Walid
;
Ur Rehman, Mobeen
;
Al-Yahyaee, Khamis Hamed
; …
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 283-294
Persistent link: https://www.econbiz.de/10012120250
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4
Sample average approximation of
CVaR
-based hedging problem with a deep-learning solution
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012821981
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5
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
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6
Risk spillover of international crude oil to China's firms : evidence from granger causality across quantile
Peng, Cheng
;
Zhu, Huiming
;
Guo, Yawei
;
Chen, Xiuyun
- In:
Energy economics
72
(
2018
),
pp. 188-199
Persistent link: https://www.econbiz.de/10011972302
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7
Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas
Mensi, Walid
;
Hammoudeh, Shawkat
;
Shahzad, Syed Jawad …
- In:
Energy economics
67
(
2017
),
pp. 476-495
Persistent link: https://www.econbiz.de/10011897955
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