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Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)
Iglesias, Emma M. - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10011333008
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Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
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Crash risk and risk neutral densities
Chen, Ren-Raw; Hsieh, Pei-lin; Huang, Jeffrey - In: Journal of empirical finance 47 (2018), pp. 162-189
Persistent link: https://www.econbiz.de/10012103473
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Financial crisis and extreme market risks : evidence from Europe
Orłowski, Lucjan T. - In: Review of financial economics : RFE 21 (2012) 3, pp. 120-130
Persistent link: https://www.econbiz.de/10009703032
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012385032
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Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021
on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012429187
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Modeling extreme events : timevarying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …
Persistent link: https://www.econbiz.de/10012315434
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Estimating redenomination risk under Gumbel–Hougaard survival copulas
Cherubini, Umberto - In: Journal of economic dynamics & control 133 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10014535826
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Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182
Persistent link: https://www.econbiz.de/10011853830