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Retailer value-at-risk in interconnected power markets : an Australian empirical analysis
Handika, Rangga; Triandaru, Sigit - In: International journal of economics and financial issues … 6 (2016) 6, pp. 6-9
Persistent link: https://www.econbiz.de/10011782375
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Volatility transmission in agricultural futures markets
Beckmann, Joscha; Czudaj, Robert - In: Economic modelling 36 (2014), pp. 541-546
Persistent link: https://www.econbiz.de/10010416370
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The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin
Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; … - In: Emerging markets, finance and trade : EMFT 56 (2020) 6, pp. 1293-1311
Persistent link: https://www.econbiz.de/10012211636
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Oil price uncertainty : panel evidence from the G7 and BRICS countries
Serletis, Apostolos; Xu, Libo - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 3-21). 2023
Persistent link: https://www.econbiz.de/10014282544
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Identifying monetary policy and central bank information shocks using high-frequency exchange rates
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019
level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …
Persistent link: https://www.econbiz.de/10012304714
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
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Value-at-Risk dynamics : a copula-VAR approach
De Luca, Giovanni; Rivieccio, Giorgia; Corsaro, Stefania - In: The European journal of finance 26 (2020) 2/3, pp. 223-237
Persistent link: https://www.econbiz.de/10012207202
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Study on extreme risk measurement of Chinese soybean futures market : VaR based on GARCH model
Li, Ganqiong; Xu, Shiwei; Wang, Shengwei; Yu, Haipeng - In: Proceedings of 2013 world agricultural outlook conference, (pp. 161-171). 2014
Persistent link: https://www.econbiz.de/10010416299
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Oil risk and asset returns : evidence from emerging markets in the Middle East
Nikkinen, Jussi; Saleem, Kashif; Martikainen, Minna; … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 169-189
Persistent link: https://www.econbiz.de/10010465076
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619