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Beware of the crash risk : tail beta and the cross-section of stock returns in China

Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881

Persistent link: https://www.econbiz.de/10012197122

Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413542

A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices

Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389

Persistent link: https://www.econbiz.de/10011433225

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Persistent link: https://www.econbiz.de/10011545172

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244

Persistent link: https://www.econbiz.de/10014326299

Can market risk explain the systemic risk? : evidence from the US banking industry

Tzouvanas, Panagiotis - In: Journal of economic studies 51 (2024) 1, pp. 165-184

Persistent link: https://www.econbiz.de/10014466448

Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model

Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398

Persistent link: https://www.econbiz.de/10012692552