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Search: subject_exact:"CVaR (Conditional value at risk)"
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Global financial crisis
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McAleer, Michael
3
Pérez Amaral, Teodosio
3
Chang, Chia-Lin
2
Fox, David
2
Jimenez-Martin, Juan-Angel
2
Lim, JiEun
2
Su, Jung-bin
2
Wee, Claudia
2
Allen, David E.
1
Chen, Baizhu
1
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1
Chiu, Chien-Liang
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Fang, Libing
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Gerlach, Richard H.
1
Go, You-How
1
Jiménez-Martín, Juan-Ángel
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Lau, Wee-Yeap
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Maasoumi, Esfandiar
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The North American journal of economics and finance : a journal of financial economics studies
4
Economics & finance notes
2
International review of economics & finance : IREF
2
Finance research letters
1
International journal of forecasting
1
Journal of econometrics
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1
Extreme risk spillovers between crude palm oil prices and exchange rates
Go, You-How
;
Lau, Wee-Yeap
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013188167
Saved in:
2
Identifying systemic important markets from a global perspective : using the ADCC [delta]CoVaR approach with skewed-t distribution
Fang, Libing
;
Chen, Baizhu
;
Yu, Honghai
;
Qian, Yichuo
- In:
Finance research letters
24
(
2018
),
pp. 137-144
Persistent link: https://www.econbiz.de/10011982527
Saved in:
3
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
4
The effect of leverage on the magnitude of risk : can financial market black swan events, 10 sigma events and fat tails be explained by leverage?
Fox, David
;
Lim, JiEun
;
Wee, Claudia
- In:
Economics & finance notes
4
(
2015
)
1/2
,
pp. 45-54
Persistent link: https://www.econbiz.de/10011444068
Saved in:
5
Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates
Su, Jung-bin
- In:
The North American journal of economics and finance : a …
30
(
2014
),
pp. 1-39
Persistent link: https://www.econbiz.de/10010463599
Saved in:
6
Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Su, Jung-bin
;
Lee, Ming-chih
;
Chiu, Chien-Liang
- In:
International review of economics & finance : IREF
31
(
2014
),
pp. 59-85
Persistent link: https://www.econbiz.de/10010490442
Saved in:
7
The effect of leverage on the magnitude of risk : can financial market Black Swan events : 10 sigma events and fat tails be explained by leverage?
Fox, David
;
Lim, JiEun
;
Wee, Claudia
- In:
Economics & finance notes
2
(
2013
)
1/2
,
pp. 45-54
Persistent link: https://www.econbiz.de/10010426274
Saved in:
8
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
International review of economics & finance : IREF
27
(
2013
),
pp. 97-111
Persistent link: https://www.econbiz.de/10009740861
Saved in:
9
Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 250-265
Persistent link: https://www.econbiz.de/10010365769
Saved in:
10
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 217-226
Persistent link: https://www.econbiz.de/10010365773
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