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Stress testing correlation matrices for risk management
So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322
Persistent link: https://www.econbiz.de/10010365763
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Inadequacy of nation-based and VaR-based safety nets in the European Union
Kane, Edward J. - In: The North American journal of economics and finance : a … 17 (2006) 3, pp. 375-387
Persistent link: https://www.econbiz.de/10003395918
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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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Traffic Light system for systemic Stress : TALIS3
Caporin, Massimiliano; Garcia-Jorcano, Laura; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012822271
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies
Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Albulescu, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012659682
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Search for yield and business cycles
Oshima, Katsuhiro - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012665104
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Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness
Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012666122
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Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach
Zhang, Yue-jun; Bouri, Elie; Gupta, Rangan; Ma, Shu-Jiao - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012667384
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Risk decomposition, estimation error, and naïve diversification
Haensly, Paul J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-34
Persistent link: https://www.econbiz.de/10012654769