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Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis
Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65
Persistent link: https://www.econbiz.de/10009688173
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Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
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Exchange rate volatility response to macroeconomic news during the global financial crisis
Ben Omrane, Walid; Savaşer, Tanseli - In: International review of financial analysis 52 (2017), pp. 130-143
Persistent link: https://www.econbiz.de/10011868719
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Research on China's financial systemic risk contagion under jump and heavy-tailed risk
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong; Zhang, Wei - In: International review of financial analysis 72 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012437236
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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
Persistent link: https://www.econbiz.de/10013472796
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Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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Liquidity, implied volatility and tail risk: a comparison of liquidity measures
Ramos, Henrique Pinto; Righi, Marcelo Brutti - In: International review of financial analysis 69 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012316872
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Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries : a VAR quantile analysis
Massaporn Cheuathonghua; DeBoyrie, Maria Eugenia; … - In: International review of financial analysis 80 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013366188
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001