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Financial tail risks in conventional and Islamic stock markets : a comparative analysis

Muteba Mwamba, John; Hammoudeh, Shawkat; Gupta, Rangan - In: Pacific-Basin finance journal 42 (2017), pp. 60-82

Persistent link: https://www.econbiz.de/10011800542

Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns

Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64

Persistent link: https://www.econbiz.de/10011475596

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Can cryptocurrencies be a safe haven : a tail risk perspective analysis

Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762

Persistent link: https://www.econbiz.de/10012061627

Unexpected tails in risk measurement : some international evidence

Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493

Persistent link: https://www.econbiz.de/10010404698

TERES: tail event risk expectile based shortfall

Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture …

Persistent link: https://www.econbiz.de/10011349502