Search Results - subject:"Lower-tail dependence"

Investigating the importance of different companies of Tehran stock exchange using lower tail dependency based interaction network

Osoolian, Mohammad; Hosseiny Esfidvajani, Seyed Ali; … - In: Iranian journal of finance 7 (2023) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10013477714

Tail risk, beta anomaly, and demand for lottery : what explains cross-sectional variations in equity returns?

Ali, Asgar; Badhani, K. N. - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 775-804

Persistent link: https://www.econbiz.de/10014329083

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

Persistent link: https://www.econbiz.de/10012589196

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021

Persistent link: https://www.econbiz.de/10012585546

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

its expected shortfall and its multivariate lower tail dependence with the systematic factors of the Carhart (1997) model …

Persistent link: https://www.econbiz.de/10011993538

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - In: Journal of financial economics 145 (2022) 1, pp. 129-153

Persistent link: https://www.econbiz.de/10013473731

Measuring systemic risk : a comparison of alternative market-based approaches

Kleinow, Jacob; Moreira, Fernando; Strobl, Sascha; … - In: Finance research letters 21 (2017), pp. 40-46

Persistent link: https://www.econbiz.de/10011807485

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

Systemic risk and bank consolidation: International evidence

Weiß, Gregor N.F.; Neumann, Sascha; Bostandzic, Denefa - In: Journal of Banking & Finance 40 (2014) C, pp. 165-181

the marginal expected shortfall as well as the lower tail dependence between a bank’s stock returns and a relevant bank …

Persistent link: https://www.econbiz.de/10011065686

Systemic risk and bank consolidation : international evidence

Weiß, Gregor; Neumann, Sascha; Bostandzic, Denefa - In: Journal of banking & finance 40 (2014), pp. 165-181

Persistent link: https://www.econbiz.de/10010402243

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