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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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A comparison study of copula models for European financial index returns
Tofoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: International journal of economics and finance 9 (2017) 10, pp. 155-178
Persistent link: https://www.econbiz.de/10011764112
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Jump tail dependence in the Chinese stock market
Li, Sophia Zhengzi; Wang, Hao; Zhao, Hua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2379-2396
Persistent link: https://www.econbiz.de/10011672561
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Dynamic return-volatility dependence and risk measure of CoVaR in the oil market : a time-varying mixed copula model
Liu, Bing-Yue; Ji, Qiang; Fan, Ying - In: Energy economics 68 (2017), pp. 53-65
Persistent link: https://www.econbiz.de/10011904999
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Portfolio management under asymmetric dependence and distribution
Hlawatsch, Stefan; Reichling, Peter - 2010
Persistent link: https://www.econbiz.de/10008902551
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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
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292