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Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano; Geman, Hélyette; Romagnoli, Silvia - In: Applied economics 52 (2020) 26, pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
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Regional and copula estimation effects on EU and US energy equity portfolios
Hanif, Waqas; Hernandez, Jose Arreola; Shahzad, Syed … - In: Applied economics 52 (2020) 49, pp. 5311-5342
Persistent link: https://www.econbiz.de/10012307235
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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
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Equity markets risks and returns : implications for global portfolio capital flows during pandemic and crisis periods
Dziuba, Pavlo; Pryiatelchuk, Olena; Rusak, Denys - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 97-108
Persistent link: https://www.econbiz.de/10012616041
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How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10010412236
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Improved detection of rare-event risk of a portfolio with US REITs
So, Leh-Chyan; Yu, Jun-Yang - In: Annals of financial economics 10 (2015) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011408574
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F-Vine Copula : Profiting from Asset Price Heterogeneity to Estimate Systematic Risk
Kyrtsou, Catherine - 2017
risk. It turns out that this important feature of the model along with the consideration of tail dependent structures can … the market risk …
Persistent link: https://www.econbiz.de/10012958016
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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623