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Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398
Persistent link: https://www.econbiz.de/10012692552
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Measuring systemic risk using vine-copula
Pourkhanali, Armin; Kim, Jong-Min; Tafakori, Laleh; … - In: Economic modelling 53 (2016), pp. 63-74
Persistent link: https://www.econbiz.de/10011640962
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General dual measures of riskiness
Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304
Persistent link: https://www.econbiz.de/10010513819
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Modeling loss data using composite models
Abu Bakar, S. A.; Hamzah, N. A.; Maghsoudi, M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 146-154
Persistent link: https://www.econbiz.de/10010515901
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10011334834
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The impact of highter order moments added to the multiscale Carhart model for different investment periods
Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10011347007
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Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Mathematics and financial economics 9 (2015) 2, pp. 149-167
Persistent link: https://www.econbiz.de/10011349444
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796