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Downside risk control and optimal investment turnover around financial crises
Tian, Ruilin; Huseynov, Fariz; Zhang, Wei - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 141-168
Persistent link: https://www.econbiz.de/10012253637
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
Persistent link: https://www.econbiz.de/10001736255
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …
Persistent link: https://www.econbiz.de/10009725481
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Freight rate co-movement and risk spillovers in the product tanker shipping market : a copula analysis
Bai, Xiwen; Lam, Jasmine Siu Lee - In: Transportation research / E : an international journal 149 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012520940
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VaR as a risk management framework for the spot and futures tanker markets
Basdekis, Charalampos; Christopoulos, Apostolos G.; … - In: Operational research : an international journal 22 (2022) 4, pp. 4287-4352
Persistent link: https://www.econbiz.de/10013445551
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Financial risk management with bayesian estimation of GARCH models : theory and applications
Ardia, David - 2008
Persistent link: https://www.econbiz.de/10013278094
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VaR as a mitigating risk tool in the maritime sector : an empirical approach on freight rates
Charalampos, Basdekis; Ioannis, Katsampoxakis; … - In: Quantitative finance and economics 6 (2022) 2, pp. 158-176
Persistent link: https://www.econbiz.de/10013498885
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the …
Persistent link: https://www.econbiz.de/10013520959
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A study on equity home bias using vine copula approach
Garg, Jyoti; Karmakar, Madhusudan; Paul, Samit - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014246917