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EVT and tail-risk modelling : evidence from market indices and volatility series
Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: The North American journal of economics and finance : a … 26 (2013), pp. 355-369
Persistent link: https://www.econbiz.de/10010367580
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Risk measurement and risk modelling using applications of vine copulas
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014
Persistent link: https://www.econbiz.de/10010410215
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A gourmet's delight : CAViaR and the Australian stock market
Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Applied economics letters 19 (2012) 13/15, pp. 1493-1498
Persistent link: https://www.econbiz.de/10009682474
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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The long and short of commodity tails and their relationship to Asian equity markets
Powell, Robert; Duc Hong Vo; Thach Ngoc Pham; Singh, … - In: Journal of Asian economics 52 (2017), pp. 32-44
Persistent link: https://www.econbiz.de/10011928156
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Price bands and their effects on equity markets : evidence from a natural experiment
Gatčev, Vladimir A.; Seth, Rama; Singh, Ajai K.; … - In: Journal of financial markets 66 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014472952