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Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023

Measuring systemic risk with high-frequency data : a realized GARCH approach

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472723

Testing for financial crashes using the Log Periodic Power Law model

Brée, David S.; Joseph, Nathan Lael - In: International review of financial analysis 30 (2013), pp. 287-297

Persistent link: https://www.econbiz.de/10010461550

Structural change tests in tail behaviour and the Asian crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - In: The review of economic studies 68 (2001) 3, pp. 633-663

Persistent link: https://www.econbiz.de/10001608811

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Two-sample testing for tail copulas with an application to equity indices

Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021

Persistent link: https://www.econbiz.de/10012586114

Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall

Eckernkemper, Tobias - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 63-117

Persistent link: https://www.econbiz.de/10011987686

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis

Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131

Persistent link: https://www.econbiz.de/10009536052

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