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Contagion Risk Measured by Return Among Cryptocurrencies
Huynh, Toan Luu Duc - 2020
. The author wonders whether contagion risk among these cryptocurrencies happens or not in the event of crashing. We also …-plots. It also means the existence of contagion risk among these cryptocurrencies. The three methodologies namely Kendall …
Persistent link: https://www.econbiz.de/10012850452
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Is there a low-risk anomaly across countries?
Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65
Persistent link: https://www.econbiz.de/10011441281
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Does downside risk matter more in asset pricing? : evidence from China
Ali, Heba - In: Emerging markets review 39 (2019), pp. 154-174
Persistent link: https://www.econbiz.de/10012313110
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Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments
Berényi, Zsolt Endre - 2003
Persistent link: https://www.econbiz.de/10001754325
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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing - 2019
existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …
Persistent link: https://www.econbiz.de/10012004764
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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing - In: Journal of financial econometrics 21 (2023) 3, pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
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On the efficiency of risk measures for funds of hedge funds
Laube, Falk; Schiltz, Jang; Terraza, Virginie - In: Journal of derivatives & hedge funds 17 (2011) 1, pp. 63-84
Persistent link: https://www.econbiz.de/10009158031
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
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Risk-adjusted performances of world equity indices
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721
Persistent link: https://www.econbiz.de/10011562564
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Global downside risk and equity returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012140071