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Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets
Huang, Wei-Qiang; Zhang, Jing; Liu, Peipei - In: Applied economics letters 30 (2023) 10, pp. 1318-1326
Persistent link: https://www.econbiz.de/10014304235
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Measuring and testing tail dependence and contagion risk between Major stock markets
Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10011762384
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Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
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Value-at-Risk models and Basel capital charges : evidence from emerging and frontier stock markets
Rossignolo, Adrian F.; Fethı, Meryem Duygun; Shaban, … - In: Journal of financial stability 8 (2012) 4, pp. 303-319
Persistent link: https://www.econbiz.de/10009655576
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Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
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Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329
Persistent link: https://www.econbiz.de/10011649371
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Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118
Persistent link: https://www.econbiz.de/10011653721
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Extreme quantile estimation for β-mixing time series and applications
Chavez-Demoulin, Valérie; Guillou, Armelle - In: Insurance / Mathematics & economics 83 (2018), pp. 59-74
Persistent link: https://www.econbiz.de/10011944097
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Improved VaR forecasts using extreme value theory with the Realized GARCH model
Paul, Samit; Sharma, Prateek - In: Studies in economics and finance 34 (2017) 2, pp. 238-259
Persistent link: https://www.econbiz.de/10011822635
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On agricultural commodities' extreme price risk
Oordt, Maarten van; Stork, Philip; Vries, Casper G. de - 2013
Persistent link: https://www.econbiz.de/10010225579