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Risk spillover analysis of China's financial sectors based on a new GARCH Copula quantile regression model

Tian, Maoxi; Guo, Fei; Niu, Rong - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10014225784

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014283909

Risk spillover effect of internet finance : evidence from Chinese securities companies

Dimitropoulos, Panagiotis - In: Banking resilience : new insights on corporate …, (pp. 391-416). 2024

Persistent link: https://www.econbiz.de/10015179410

Overnight news and daily equity trading risk limits

Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551

Persistent link: https://www.econbiz.de/10011623670

Return or position-based value at risk?

Huillard d'Aignaux, Jérôme; Baranne, Benjamin; Fuchs, … - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 301-313

Persistent link: https://www.econbiz.de/10010472817

Duration of poor performance and risk shifting by hedge fund managers

Li, Ying; Holland, A. Steven; Kazemi, Hossein - In: Global finance journal 40 (2019), pp. 35-47

Persistent link: https://www.econbiz.de/10012257036

Hedge Funds : Performance, Risk Management, and Impact on Asset Markets

Agarwal, Vikas; Ren, Honglin - 2023

advanced econometric techniques.Recent research has also examined different risks hedge funds are exposed to and the risk … management practices of hedge funds. Particularly, studies have focused on systematic risk, liquidity risk, and financial … intermediary risk stemming from trading in the market and interacting with other market participants. With greater availability of …

Persistent link: https://www.econbiz.de/10014355695

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904