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ARCH model
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ECONIS (ZBW)
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191
Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas
Hussain, Saiful Izzuan
;
Li, Steven
- In:
The world economy : the leading journal on …
45
(
2022
)
1
,
pp. 317-335
Persistent link: https://www.econbiz.de/10012818942
Saved in:
192
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
193
Portfolio selection with irregular time grids : an example using an ICA-COGARCH(1, 1) approach
Bianchi, Francesco
;
Mercuri, Lorenzo
;
Rroji, Edit
- In:
Financial markets and portfolio management
36
(
2022
)
1
,
pp. 57-85
Persistent link: https://www.econbiz.de/10013175200
Saved in:
194
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
195
Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
Saved in:
196
Extreme risk transmission channels between the stock index futures and spot markets : evidence from China
Jian, Zhihong
;
Li, Xupei
;
Zhu, Zhican
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413574
Saved in:
197
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
Saved in:
198
On extreme value theory in the presence of technical trend : pre and post Covid-19 analysis of cryptocurrency markets
Nair, Saji Thazhungal Govindan
- In:
Journal of financial economic policy
14
(
2022
)
4
,
pp. 533-561
Persistent link: https://www.econbiz.de/10013287972
Saved in:
199
Extreme risk spillover of the oil, exchange rate to Chinese stock market : evidence from implied volatility indexes
Chen, Lin
;
Wen, Fenghua
;
Li, Wanyang
;
Yin, Hua
;
Zhao, Lili
- In:
Energy economics
107
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013202630
Saved in:
200
Risk spillover analysis of China's financial sectors based on a new GARCH Copula quantile regression model
Tian, Maoxi
;
Guo, Fei
;
Niu, Rong
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014225784
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