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Modifikation der Verteilungsannahme im Value-at-Risk-Modell
Jödicke, Ralf; Schremper, Ralf - 1999
Persistent link: https://www.econbiz.de/10001404275
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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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Oil tail risk and the tail risk of the US Dollar exchange rates
Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul - In: Energy economics 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013283764
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Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
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Value at risk using hyperbolic distributions
Bauer, Christian - In: Journal of economics & business 52 (2000) 5, pp. 455-467
Persistent link: https://www.econbiz.de/10001523719
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Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …
Persistent link: https://www.econbiz.de/10011431370
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Evaluating density forecasts from models of stock market returns
Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10002841826
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002
in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …
Persistent link: https://www.econbiz.de/10001657476
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402