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Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong; Lehnert, Thorsten - 2017
Persistent link: https://www.econbiz.de/10011817658
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no …Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …
Persistent link: https://www.econbiz.de/10002638723
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
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State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis - In: Essays in honour of Fabio Canova, (pp. 25-53). 2022
Persistent link: https://www.econbiz.de/10013443965
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
Persistent link: https://www.econbiz.de/10014316029
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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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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871