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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …
Persistent link: https://www.econbiz.de/10012170580
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …
Persistent link: https://www.econbiz.de/10010407672
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - In: Journal of empirical finance 24 (2013), pp. 121-137
Persistent link: https://www.econbiz.de/10010371985
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Financial volatility modeling with option-implied information and important macro-factors
Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149
Persistent link: https://www.econbiz.de/10013532426
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Variance risk and the idiosyncratic volatility puzzle
Qadan, Mahmoud; Shuval, Kerem - In: Finance research letters 45 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10014578075
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...
Persistent link: https://www.econbiz.de/10013214142
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Volatility forecasts, proxies and loss functions
Reschenhofer, Erhard; Mangat, Manveer Kaur; Stark, Thomas - In: Journal of empirical finance 59 (2020), pp. 133-153
Persistent link: https://www.econbiz.de/10012437952