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Tail risk emanating from troubled European banking sectors
Javed, Farrukh; Sabzevari, Hassan; Virk, Nader Shahzad - In: Finance research letters 43 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10014632302
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Forecasting tail risk for Bitcoin : a dynamic peak over threshold approach
Ke, Rui; Yang, Luyao; Tan, Changchun - In: Finance research letters 49 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013478773
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Ex-ante risk factors and required structures of the implied correlation matrix
Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10013336218
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Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
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Global tail risk and oil return predictability
Qian, Lihua; Zeng, Qing; Lu, Xinjie; Ma, Feng - In: Finance research letters 47 (2022) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10013553904
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842