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Managing extreme risk in some major stock markets : an extreme value approach
Karmakar, Madhusudan; Shukla, Girja K. - In: International review of economics & finance : IREF 35 (2015), pp. 1-25
Persistent link: https://www.econbiz.de/10011333727
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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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Systemic-systematic risk in financial system : a dynamic ranking based on expectiles
Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - In: International review of economics & finance : IREF 75 (2021), pp. 330-365
Persistent link: https://www.econbiz.de/10012692497
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Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398
Persistent link: https://www.econbiz.de/10012692552
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Systemic risk in international stock markets : role of the oil market
Yin, Libo; Feng, Jiabao; Han, Liyan - In: International review of economics & finance : IREF 71 (2021), pp. 592-619
Persistent link: https://www.econbiz.de/10012627999
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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
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Tail risk and the consumption CAPM
Kwon, Ji Ho - In: Finance research letters 30 (2019), pp. 69-75
Persistent link: https://www.econbiz.de/10012420224
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When Bitcoin meets economic policy uncertainty (EPU) : measuring risk spillover effect from EPU to Bitcoin
Wang, Gang-Jin; Chi, Xie; Wen, Danyan; Zhao, Longfeng - In: Finance research letters 31 (2019), pp. 489-497
Persistent link: https://www.econbiz.de/10012421780
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Equity premia and state-dependent risks
Bouaddi, Mohammed; Larocque, Denis; Normandin, Michel - In: International review of economics & finance : IREF 38 (2015), pp. 393-409
Persistent link: https://www.econbiz.de/10011572388