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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

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Reinsurance decisions in life insurance : an empirical test of the risk-return criterion

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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

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Intraday risk management in International stock markets : a conditional EVT approach

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Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach

Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16

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