Search Results - subject:"conditional"

Central bank announcements and monitoring portfolio risks

Bui, Huynh Tuan Duy; Herwartz, Helmut; Wang, Shu - In: International review of economics & finance : IREF 103 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015482544

Portfolio selection under systemic risk

Lin, Weidong; Olmo, Jose; Taamouti, Abderrahim - In: Journal of money, credit and banking : JMCB 57 (2025) 4, pp. 905-949

Persistent link: https://www.econbiz.de/10015471208

Extreme conditional tail risk inference in ARMA-GARCH models

Ma, Yaolan - In: Journal of economic dynamics & control 177 (2025), pp. 1-22

Persistent link: https://www.econbiz.de/10015556648

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://www.econbiz.de/10015627081

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - In: International Journal of Financial Studies : open … 14 (2026) 1, pp. 1-34

conditional heteroscedasticity (GARCH) models (standard GARCH, exponential GARCH, threshold-GARCH and APARCH (asymmetric power …

Persistent link: https://www.econbiz.de/10015591162

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version …

Persistent link: https://www.econbiz.de/10015592338

Forecasting value at risk and expected shortfall in equity markets of high-income and Latin American countries

Liza, Fiorela; Rodriguez, Gabriel; Arellano Ataurima, Miguel - 2026

Persistent link: https://www.econbiz.de/10015638652

Oil price volatility and unemployment in iraq : a two-stage approach using generalized autoregressive conditional heteroskedasticity-mixed-data sampling

Abed, Zainab Ahmed; Barguellil, Achouak; Fathalla, … - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 1, pp. 352-359

Persistent link: https://www.econbiz.de/10015616941

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de/10015604163

Do uncertainty and action shocks affect G7 stock market synchronisation? : DCC-GARCH evidence from the 2024 U.S. election and the reciprocal tariffs announcement

Czech, Katarzyna; Wielechowski, Michał - In: Risks : open access journal 14 (2026) 4, pp. 1-14

two U.S.-centred events, treated as different shock types, influence time-varying conditional correlations between the U …. We employ a DCC-GARCH model to jointly estimate conditional variances and dynamic correlations for six USA-G7 pairs. The … show only small changes. By contrast, the tariff action shock significantly increases conditional correlations across all …

Persistent link: https://www.econbiz.de/10015639142