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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis

Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013187623

Period value at risk and its estimation by Monte Carlo simulation

Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679

Persistent link: https://www.econbiz.de/10013412280

GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets

Corelli, Angelo - In: International journal of bonds and derivatives 4 (2018) 1, pp. 52-62

Persistent link: https://www.econbiz.de/10012253412

Risk and return of a trend-chasing application in financial markets: an empirical test

Ilomäki, Jukka - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 258-272

Persistent link: https://www.econbiz.de/10011885978

Dynamic copulas for finance : an application to portfolio risk calculation

Braun, Valentin - 2011 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009152690

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

Persistent link: https://www.econbiz.de/10003727552

Tempered stable models for Islamic finance asset management

Bekri, Mahmoud; Kim, Young Shin; Račev, Svetlozar T. - In: International journal of Islamic and Middle Eastern … 7 (2014) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10011335135

Banking firm, equity and value at risk

Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

Persistent link: https://www.econbiz.de/10009768157

A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358

Persistent link: https://www.econbiz.de/10010224698

Estimating Value at Risk (VaR) using filtered historical simulation in the Indian capital market

Roy, Indrajit - In: Occasional papers / Reserve Bank of India 32 (2011) 2, pp. 81-98

Persistent link: https://www.econbiz.de/10010245725

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