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Non-parametric multiple change point analysis of the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Annals of financial economics 13 (2018) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011931167

Nonparametric multiple change point analysis of the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009767007

Financial dependence analysis : applications of vine copulae

Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009711719

Nonparametric multiple change point analysis of the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009772595

European Market portfolio diversifcation strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

Persistent link: https://www.econbiz.de/10011296531

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

Financial dependence analysis : applications of vine copulae

Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009724821

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

Vulnerability-CoVaR : investigating the crypto-market

Waltz, Martin; Singh, Abhay Kumar; Okhrin, Ostap - In: Quantitative finance 22 (2022) 9, pp. 1731-1745

Persistent link: https://www.econbiz.de/10013367943