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Tail dependence and diversification benefits in emerging market stocks : an extreme value theory approach
Ergen, Ibrahim - In: Applied economics 46 (2014) 19/21, pp. 2215-2227
Persistent link: https://www.econbiz.de/10010417299
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Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach
Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228
Persistent link: https://www.econbiz.de/10010418906
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Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas
Hussain, Saiful Izzuan; Li, Steven - In: The world economy : the leading journal on … 45 (2022) 1, pp. 317-335
Persistent link: https://www.econbiz.de/10012818942
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Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
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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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Nonparametric inference for distortion risk measures on tail regions
Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110
Persistent link: https://www.econbiz.de/10012133516
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How often is the financial market going to collapse?
Frahm, Gabriel - In: Quantitative finance and economics 2 (2018) 3, pp. 590-614
Persistent link: https://www.econbiz.de/10012156795
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Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148
Persistent link: https://www.econbiz.de/10012176750
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Pricing hybrid-triggered catastrophe bonds based on copula-EVT model
Wei, Longfei; Liu, Lu; Hou, Jialong - In: Quantitative finance and economics 6 (2022) 2, pp. 223-243
Persistent link: https://www.econbiz.de/10013498934
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The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231