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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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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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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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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
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model 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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CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
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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
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Can market risk explain the systemic risk? : evidence from the US banking industry
Tzouvanas, Panagiotis - In: Journal of economic studies 51 (2024) 1, pp. 165-184
Persistent link: https://www.econbiz.de/10014466448
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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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Risk spillover from international crude oil markets to China's financial markets : evidence from extreme events and U.S. monetary policy
Changqing, Luo; Qu, Yi; Su, Yaya; Dong, Liang - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014491934