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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

Persistent link: https://www.econbiz.de/10014494675

Factor high-frequency based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - 2014

Persistent link: https://www.econbiz.de/10010365630

Blockchain market and eco-friendly financial assets : dynamic price correlation, connectedness and spillovers with portfolio implications

Abakah, Emmanuel Joel Aikins; Ullah, G. M. Wali; … - In: International review of economics & finance : IREF 87 (2023), pp. 218-243

Persistent link: https://www.econbiz.de/10014472075

Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio

Obadović, Milica; Petrović, Evica; Vunjak, Nenad; … - In: Economic research 29 (2016) 1, pp. 475-484

Persistent link: https://www.econbiz.de/10012221663

Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...

Persistent link: https://www.econbiz.de/10013341689

On the usefulness of dynamically spilled risk : an optimal portfolio allocation based on cross-sector information contagion

Shigemoto, Hideto; Morimoto, Takayuki - In: Cogent economics & finance 11 (2023) 2, pp. 1-13

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...

Persistent link: https://www.econbiz.de/10014503074