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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532092
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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Option-implied measures of equity risk
Chang, Bo Young; Christoffersen, Peter F.; Jacobs, Kris; … - In: Review of finance : journal of the European Finance … 16 (2012) 2, pp. 385-428
Persistent link: https://www.econbiz.de/10009533372
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A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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Average drawdown risk and capital asset pricing
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10010241626
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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors
Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226
. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and …This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …
Persistent link: https://www.econbiz.de/10011545172
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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
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Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10009514126