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Measuring contagion risk in high volatility state among Taiwanese major banks
Su, Ender - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 185-241
Persistent link: https://www.econbiz.de/10011885900
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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Liquidity risk and volatility risk in credit spread models : a unified approach
Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901
Persistent link: https://www.econbiz.de/10011865496
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10011302625
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Computational dynamic market risk measures in discrete time setting
Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 334-354
Persistent link: https://www.econbiz.de/10010476909
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Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
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Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index
Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710
Persistent link: https://www.econbiz.de/10012312671