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Measuring contagion risk in high volatility state among Taiwanese major banks

Su, Ender - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 185-241

Persistent link: https://www.econbiz.de/10011885900

Tail dependence in small samples : from theory to practice

Lavaud, Sophie - In: The journal of operational risk 13 (2018) 1, pp. 15-49

Persistent link: https://www.econbiz.de/10011848897

Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

A tail dependence-based mst and their topological indicators in modeling systemic risk in the European insurance sector

Denkowska, Anna; Wanat, Stanisław - In: Risks : open access journal 8 (2020) 2/39, pp. 1-22

In the present work, we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis, we assume that the stock quotations of insurance companies reflect market sentiments, which constitute a very important systemic risk factor....

Persistent link: https://www.econbiz.de/10012204436

Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach

Kumar, Satish; Tiwari, Aviral Kumar; Chauhan, Yogesh; … - In: International review of financial analysis 63 (2019), pp. 273-284

Persistent link: https://www.econbiz.de/10012207463

Modelling default dependence in automotive supply networks using vine-copula

Alavifard, Farzad - In: International journal of production research 57 (2019) 2, pp. 433-451

Persistent link: https://www.econbiz.de/10012183680

Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk

Scheffer, Marcus; Weiß, Gregor - In: Quantitative finance 20 (2020) 3, pp. 425-446

Persistent link: https://www.econbiz.de/10012194900

On additivity of tail comonotonic risks

Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866

Persistent link: https://www.econbiz.de/10012195005

Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges

Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221

Persistent link: https://www.econbiz.de/10012137438

Measuring dependence between the USA and the Asian economies : a time-varying copula approach

Rajwani, Shegorika; Kumar, Dilip - In: Global business review 20 (2019) 4, pp. 962-980

Persistent link: https://www.econbiz.de/10012137520