This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and … extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into …. Volatility plays an important role in controlling and monitoring financial risks. Therefore, by means of a risk management …

We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …