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Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

Extreme co-movements and dependencies among major international exchange rates : a copula approach

Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 56-69

Persistent link: https://www.econbiz.de/10012034997

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

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - In: Economic modelling 114 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013367523

Assessing some stylized facts about financial market indexes : a Markov copula approach

Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271

Persistent link: https://www.econbiz.de/10010259266

Dependence analysis between foreign exchange rates : a semi-parametric copula approach

Azam, Kazim - 2014

Persistent link: https://www.econbiz.de/10010465712

Estimation and model selection of copulas with an application to exchange rates

Manner, Hans - 2007

Persistent link: https://www.econbiz.de/10003647709

Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140

Persistent link: https://www.econbiz.de/10011377805

Using nonparametric copulas to measure crude oil price co-movements

Ho, Anson T. Y.; Huynh, Kim P.; Jacho-Chávez, David Tomás - In: Energy economics 82 (2019), pp. 211-223

Persistent link: https://www.econbiz.de/10012173921

The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization

Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303

Persistent link: https://www.econbiz.de/10014301231

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