Narrow search
Showing 1 - 10 of 2,398
Cover Image
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
Persistent link: https://www.econbiz.de/10010412236
Cover Image
Systemic risk in European sovereign debt markets : a CoVaR-copula approach
Reboredo, Juan Carlos; Ugolini, Andrea - In: Journal of international money and finance 51 (2015), pp. 214-244
Persistent link: https://www.econbiz.de/10011475258
Cover Image
Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
Cover Image
Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
Cover Image
Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
Cover Image
Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach
Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212
Persistent link: https://www.econbiz.de/10012003526
Cover Image
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Cover Image
Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
Cover Image
Estimation of risk contributions with MCMC
Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
Cover Image
Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10011820567