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Can cryptocurrencies be a safe haven : a tail risk perspective analysis

Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762

Persistent link: https://www.econbiz.de/10012061627

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

Persistent link: https://www.econbiz.de/10012127765

Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation

Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180

Persistent link: https://www.econbiz.de/10011567011

The economic value of controlling for large losses in portfolio selection

Dias, Alexandra - In: Journal of banking & finance 72 (2016), pp. 81-91

Persistent link: https://www.econbiz.de/10011637057

Efficient estimation of distributional tail shape and the extremal index with applications to risk management

Sapp, Travis R. A. - In: Journal of mathematical finance 6 (2016) 4, pp. 626-659

Persistent link: https://www.econbiz.de/10011656984

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

Computing value-at-risk using genetic algorithm

Sharma, Bhanu; Thulasiram, Ruppa K.; Thulasiram, Parimala - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 170-189

Persistent link: https://www.econbiz.de/10010514021

On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

Persistent link: https://www.econbiz.de/10010515946

Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns

Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256

Persistent link: https://www.econbiz.de/10010421851