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Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios

Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun - 2020

Persistent link: https://www.econbiz.de/10012165556

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures

Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109

Persistent link: https://www.econbiz.de/10012169513

Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

Persistent link: https://www.econbiz.de/10012117855

Tail dependence risk exposure and diversification potential of Islamic and conventional banks

Hernandez, Jose Arreola; Al-Yahyaee, Khamis Hamed; … - In: Applied economics 51 (2019) 44, pp. 4856-4869

Persistent link: https://www.econbiz.de/10012197121

Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach

Karmakar, Madhusudan - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 275-291

Persistent link: https://www.econbiz.de/10011792337

Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations

Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020

Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk...

Persistent link: https://www.econbiz.de/10012542685

A comparison of non-Gaussian VaR estimation and portfolio construction techniques

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Journal of empirical finance 58 (2020), pp. 356-368

Persistent link: https://www.econbiz.de/10012430709

Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach

Hernandez, Jose Arreola; Hammoudeh, Shawkat; Nguyen, … - In: Applied economics 49 (2017) 25, pp. 2409-2427

Persistent link: https://www.econbiz.de/10011819424

Comparing the riskiness of dependent portfolios via nested L-statistics

Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236

Persistent link: https://www.econbiz.de/10011820567

Hedging downside risk of oil refineries : a vine copula approach

Sukcharoen, Kunlapath; Leatham, David J. - In: Energy economics 66 (2017), pp. 493-507

Persistent link: https://www.econbiz.de/10011896556