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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
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Diversification benefits of risk portfolio models : a case of Taiwan's stock market
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Yang, Jian-Hong - In: Review of quantitative finance and accounting 48 (2017) 2, pp. 467-502
Persistent link: https://www.econbiz.de/10011796645
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Value at risk and the diversification dogma
Erdely, Arturo - In: Revista de métodos cuantitativos para la economía y … 24 (2017), pp. 209-219
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …
Persistent link: https://www.econbiz.de/10011845500
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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
Persistent link: https://www.econbiz.de/10010412236
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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
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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
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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
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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
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Downside and upside risk spillovers between exchange rates and stock prices
Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Journal of banking & finance 62 (2016), pp. 76-96
Persistent link: https://www.econbiz.de/10011634069
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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