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Frequency heterogeneity of tail connectedness : evidence from global stock markets

Jian, Zhihong; Lu, Haisong; Zhu, Zhican; Xu, Huiling - In: Economic modelling 125 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014463607

Risk-return trade-off for European stock markets

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: International review of financial analysis 46 (2016), pp. 84-103

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The dynamics of spillover effects during the European sovereign debt turmoil

Alter, Adrian; Beyer, Andreas - In: Journal of banking & finance 42 (2014), pp. 134-153

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Tail risk emanating from troubled European banking sectors

Javed, Farrukh; Sabzevari, Hassan; Virk, Nader Shahzad - In: Finance research letters 43 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10014632302

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …

Persistent link: https://www.econbiz.de/10012170580