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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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Risk configuration of S&P 500 industries : sigma-risk and alpha-risk approximation
Günay, Samet - In: Margin: the journal of applied economic research 11 (2017) 2, pp. 196-221
Persistent link: https://www.econbiz.de/10011690981
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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator
Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526
Persistent link: https://www.econbiz.de/10011961097
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Global idiosyncratic risk moments
Baghdadabad, Mohammadreza Tavakoli; Mallik, Girijasankar - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 731-764
Persistent link: https://www.econbiz.de/10011949902
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Essays in portfolio selection
Giuzio, Margherita - 2017
Persistent link: https://www.econbiz.de/10011914236
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Do idiosyncratic skewness and kurtosis really matter?
Ayadi, Mohamed; Cao, Xu; Lazrak, Skander; Wang, Yan - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-22
Persistent link: https://www.econbiz.de/10012203105
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Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...
Persistent link: https://www.econbiz.de/10012179511
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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
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Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures
Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265
Persistent link: https://www.econbiz.de/10012216958