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Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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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
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Market risks that change domestic diversification benefits
Sarwar, Ghulam - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10014225809
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A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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International portfolio of stock indices with spatiotemporal correlations : Can investors still benefit from portfolio, when and where?
Mo, Guoli; Tan, Chunzhi; Zhang, Weiguo; Liu, Fang - In: The North American journal of economics and finance : a … 47 (2019), pp. 168-183
Persistent link: https://www.econbiz.de/10012117833
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Risk spillovers and portfolio management between developed and BRICS stock markets
Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 41 (2017), pp. 133-155
Persistent link: https://www.econbiz.de/10011878945
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High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Extreme risk transmission channels between the stock index futures and spot markets : evidence from China
Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013413574