Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID-19 pandemic : insights from financial markets

Yousra Trichilli, Sahbi Gaadane, Mouna Boujelbène Abbes, Afif Masmoudi

Year of publication:	2025
Authors:	Trichilli, Yousra ; Gaadane, Sahbi ; Abbes, Mouna Boujelbène ; Masmoudi, Afif
Subject:	commodities \| confirmation bias \| COVID-19 \| cryptocurrencies \| Expectile VaR (EVaR) \| financial market stochastic model \| range DCC-GARCH \| stocks \| time varying hedging \| Hedging \| Coronavirus \| Finanzmarkt \| Financial market \| Risikomaß \| Risk measure \| VAR-Modell \| VAR model \| Volatilität \| Volatility \| Epidemie \| Epidemic \| Portfolio-Management \| Portfolio selection \| Virtuelle Währung \| Virtual currency \| Stochastischer Prozess \| Stochastic process