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Value-at-risk and the cross section of emerging market hedge fund returns

Ali, Sara; Badshah, Ihsan Ullah; Demirer, Rıza - In: Global finance journal 52 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013412541

Financial integration and diversification benefits : China and ASEAN4 countries

Nguyen, Tung Dao; Elisabeta, Pana - In: Managerial finance 42 (2016) 5, pp. 496-514

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Stock return comovement around the Dow Jones Islamic Market World Index revisions

Mazouz, Khelifa; Mohamed, Abdulkadir; Saadouni, Brahim - In: Journal of economic behavior & organization : JEBO 132 (2016), pp. 50-62

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VIX and the variance of Dow Jones industrial average stocks

Mollick, André Varella - In: Managerial finance 41 (2015) 3, pp. 226-243

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Multivariate dynamic mixed-frequency density pooling for financial forecasting

Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: International journal of forecasting 41 (2025) 3, pp. 1184-1198

Persistent link: https://www.econbiz.de/10015441556

Forecasting tail risk measures for financial time series : an extreme value approach with covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50

Persistent link: https://www.econbiz.de/10014292519

Measuring asset market linkages : nonlinear dependence and tail risk

Escanciano, Juan Carlos; Hualde, Javier - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 453-465

Persistent link: https://www.econbiz.de/10012499091

The construction of a portfolio using varying methods and the effects of variables on portfolio return

Manurung, Adler Hayman; Machdar, Nera Marinda; Sijabat, … - In: International journal of economics and financial issues … 14 (2024) 1, pp. 233-241

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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142

Measuring asset market linkages : nonlinear dependence and tail risk

Escanciano, Juan Carlos; Hualde, Javier - 2017

Persistent link: https://www.econbiz.de/10011763135