Narrow search
Showing 7,761 - 7,770 of 7,874
Cover Image
ESG risk exposure : a tale of two tails
Yang, Runfeng; Caporin, Massimiliano; Jiménez-Martin, … - In: Quantitative finance 24 (2024) 6, pp. 827-849
Persistent link: https://www.econbiz.de/10015050799
Cover Image
On joint marginal expected shortfall and associated contribution risk measures
Pu, Tong; Zhang, Yifei; Zhang, Yiying - In: Quantitative finance 24 (2024) 7, pp. 889-908
Persistent link: https://www.econbiz.de/10015050804
Cover Image
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting; Potì, Valerio; Härdle, Wolfgang - In: Quantitative finance 24 (2024) 7, pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Cover Image
Forecasting the VaR of the crude oil market : a combination of mixed data sampling and extreme value theory
Lyu, Yongjian; Qin, Fanshu; Ke, Rui; Yang, Mo; Chang, … - In: Energy economics 133 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10015049483
Cover Image
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni; Caporin, Massimiliano; Iacopini, … - In: Energy economics 132 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
Cover Image
Backtesting systemic risk forecasts using multi-objective elicitability
Fissler, Tobias; Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 485-498
Persistent link: https://www.econbiz.de/10015053421
Cover Image
Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries
Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283
Persistent link: https://www.econbiz.de/10015053452
Cover Image
Powerful backtests for historical simulation expected shortfall models
Du, Zaichao; Pei, Pei; Wang, Xuhui; Yang, Tao - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
Cover Image
On the combination of naive and mean-variance portfolio strategies
Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 875-889
Persistent link: https://www.econbiz.de/10015053502
Cover Image
Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10015053506