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Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2020

Persistent link: https://www.econbiz.de/10012244841

Tail risk spillovers and corporate cash holdings

Chiu, Wan-Chien; Wang, Chih-Wei; Peñac, Juan Ignacio - In: Journal of multinational financial management 36 (2016), pp. 30-48

Persistent link: https://www.econbiz.de/10011720112

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2016

Persistent link: https://www.econbiz.de/10011629466

Spillover effects among financial institutions : a state-dependent sensitivity value-at-risk approach

Adams, Zeno; Füss, Roland; Gropp, Reint - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 575-598

Persistent link: https://www.econbiz.de/10010487100

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - In: Journal of financial stability 58 (2022), pp. 1-26

Persistent link: https://www.econbiz.de/10013417451

Risk spillovers and portfolio management between developed and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 41 (2017), pp. 133-155

Persistent link: https://www.econbiz.de/10011878945

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …

Persistent link: https://www.econbiz.de/10010407672

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - In: Journal of empirical finance 24 (2013), pp. 121-137

Persistent link: https://www.econbiz.de/10010371985

Assessing downside and upside risk spillovers across conventional and socially responsible stock markets

Ben Ameur, Hachmi; Jawadi, Fredj; Jawadi, Nabila; … - In: Economic modelling 88 (2020), pp. 200-210

Persistent link: https://www.econbiz.de/10012417068