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Value-at-risk and models of dependence in the U.S. federal crop insurance program
Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of risk and financial management : JRFM 12 (2019) 2/65, pp. 1-21
The federal crop insurance program covered more than 110 billion dollars in total liability in 2018. The program consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence among components of the portfolio. Computing...
Persistent link: https://www.econbiz.de/10012022159
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Impacts of U.S. stock market crash on South African top sector indices, volatility, and market linkages : evidence of copula-based BEKK-GARCH models
Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-19
, the Gumbel copulas have higher dependence parameters, implying that extreme co-movements occur in the upper tails …
Persistent link: https://www.econbiz.de/10014382640
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Implementation forms of institutional support for traditional and innovative development of national economic systems
Postaliuk, Mikhail; Vagizova, Venera; Postaljuk, Taras - In: Investment management and financial innovations 10 (2013) 4, pp. 88-94
Persistent link: https://www.econbiz.de/10010258441
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Public reaction to stock market volatility : evidence from the ATUS
Payne, Patrick; Browning, Chris; Kalenkoski, Charlene - In: Applied economics letters 23 (2016) 16/18, pp. 1197-1200
Persistent link: https://www.econbiz.de/10011701845
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The influence of U.S. equity returns on Asian-Pacific equity markets
Benson, Earl D.; Kong, Sophie X. - In: Investment management and financial innovations 16 (2019) 4, pp. 46-60
Persistent link: https://www.econbiz.de/10012177627
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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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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TARCH model-based dynamic hedging strategy of ADR portfolios
Guo, Haochen; Zmeškal, Zdeněk - In: International journal of economics and accounting : IJEA 11 (2022) 2, pp. 199-211
Persistent link: https://www.econbiz.de/10013454273
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Portfolio diversification effects of downside risk
Hyung, Namwon; Vries, Casper G. de - 2004 - Rev.
the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …
Persistent link: https://www.econbiz.de/10011343318
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Higher order moment risk in efficient futures portfolios
You, Leyuan; Nguyen, Duong - In: Journal of economics & business 65 (2013), pp. 33-54
Persistent link: https://www.econbiz.de/10009725132