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How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model

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Risk concentration based on Expectiles for extreme risks under FGM copula

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Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

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A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors

Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22

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GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets

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ESG risk exposure : a tale of two tails

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Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations

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overview on the short-term portfolio tail risk contribution of six widely-traded cryptocurrencies. Considering the high … how the contribution to portfolio returns is not representative of the real grade of risk diversification. …

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Hedging downside risk of oil refineries : a vine copula approach

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Dependence of stock and commodity futures markets in China : implications for portfolio investment

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