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Tail risk under price limits
Oh, Sekyung; Kee, Hyukdo; Park, Kinam - In: Economic modelling 77 (2019), pp. 113-123
Persistent link: https://www.econbiz.de/10012198437
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - 2017
Persistent link: https://www.econbiz.de/10011763135
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Risk estimation for short-term financial data through pooling of stable fits
De Donno, Marzia; Donati, Riccardo; Favero, Gino; … - In: Financial markets and portfolio management 33 (2019) 4, pp. 447-470
Persistent link: https://www.econbiz.de/10012427811
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Systematic stress tests on public data
Breuer, Thomas; Summer, Martin - In: Journal of banking & finance 118 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012521044
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
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Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012504161
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Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
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Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets
Schulmerich, Marcus - 2015
, risklab GmbH - AllianzGI Global Solutions, Munich, Germany The book provides a comprehensive introduction to modern asset … Econometrics and Asset Management, EBS - Business School, Wiesbaden, Germany …
Persistent link: https://www.econbiz.de/10012402226
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Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach
Hernandez, Jose Arreola; Hammoudeh, Shawkat; Nguyen, … - In: Applied economics 49 (2017) 25, pp. 2409-2427
Persistent link: https://www.econbiz.de/10011819424
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How accurate are modern Value-at-Risk estimators derived from extreme value theory?
Mögel, Benjamin; Auer, Benjamin R. - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 979-1030
Persistent link: https://www.econbiz.de/10011979349