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Forecasting based on decomposed financial return series : a wavelet analysis

Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433

Persistent link: https://www.econbiz.de/10011580976

On the isolated impact of copulas on risk measurement : asimulation study

Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481

Persistent link: https://www.econbiz.de/10011647502

Model-free bounds on Value-at-Risk using extreme value information and statistical distances

Lux, Thibaut; Papapantoleon, Antonis - In: Insurance / Mathematics & economics 86 (2019), pp. 73-83

Persistent link: https://www.econbiz.de/10012058825

A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling

Shahzad, Syed Jawad Hussain; Arreola-Hernandez, Jose; … - In: Journal of international financial markets, … 56 (2018), pp. 104-127

Persistent link: https://www.econbiz.de/10011990981

Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach

Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212

Persistent link: https://www.econbiz.de/10012003526

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

Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

Persistent link: https://www.econbiz.de/10012027269

A value-at-risk approach to optimisation of warranty policy

Luo, Ming; Wu, Shaomin - In: European journal of operational research : EJOR 267 (2018) 2, pp. 513-522

Persistent link: https://www.econbiz.de/10011812510

Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas

Boako, Gideon; Alagidede, Paul - In: Journal of multinational financial management 41 (2017), pp. 92-114

Persistent link: https://www.econbiz.de/10011927874

Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model

Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477

Persistent link: https://www.econbiz.de/10011875347