Similar Search Results

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

The long and short of commodity tails and their relationship to Asian equity markets

Powell, Robert; Duc Hong Vo; Thach Ngoc Pham; Singh, … - In: Journal of Asian economics 52 (2017), pp. 32-44

Persistent link: https://www.econbiz.de/10011928156

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

Persistent link: https://www.econbiz.de/10011432732

Take it to the limit: Innovative CVaR applications to extreme credit risk measurement

Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475

Persistent link: https://www.econbiz.de/10011436713

European Market portfolio diversifcation strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

Persistent link: https://www.econbiz.de/10011296531

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

EVT and tail-risk modelling : evidence from market indices and volatility series

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: The North American journal of economics and finance : a … 26 (2013), pp. 355-369

Persistent link: https://www.econbiz.de/10010367580

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10010354388

Vulnerability-CoVaR : investigating the crypto-market

Waltz, Martin; Singh, Abhay Kumar; Okhrin, Ostap - In: Quantitative finance 22 (2022) 9, pp. 1731-1745

Persistent link: https://www.econbiz.de/10013367943