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Systematic extreme downside risk
Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142
Persistent link: https://www.econbiz.de/10012128287
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Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
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Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
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Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold; Stoja, Evarist - In: International journal of forecasting 33 (2017) 4, pp. 958-969
Persistent link: https://www.econbiz.de/10011746932
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Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
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Co-dependence of extreme events in high frequency FX returns
Polanski, Arnold; Stoja, Evarist - In: Journal of international money and finance 44 (2014), pp. 164-178
Persistent link: https://www.econbiz.de/10010391066
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Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
Polanski, Arnold; Stoja, Evarist - In: International journal of forecasting 28 (2012) 2, pp. 343-352
Persistent link: https://www.econbiz.de/10009581927
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Multidimensional risk and risk dependence
Polanski, Arnold; Stoja, Evarist; Zhang, Ren - In: Journal of banking & finance 37 (2013) 8, pp. 3286-3294
Persistent link: https://www.econbiz.de/10009782155
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The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10009730450
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Connectedness between cryptocurrencies and foreign exchange markets : implication for risk management
Chemkha, Rahma; BenSaïda, Ahmed; Ghorbel, Ahmed - In: Journal of multinational financial management 59 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012794677