Search Results - subject:"conditional value at risk" - EconBiz

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among analysed cryptocurrencies. This paper provides...

Persistent link: https://www.econbiz.de/10014420375

Systemic risk between cryptocurrencies and real currencies using the conditional value at risk approach and marginal expected shortfall

Pajooyan, Sadaf; Abdoli, Ghahreman; Souri, Ali - In: Iranian economic review : journal of University of Tehran 27 (2023) 3, pp. 915-938

Persistent link: https://www.econbiz.de/10015400942

Spectral risk for digital assets

Lu, Meng-Jou; Horváth, Matúš; Wang, Xingjia; … - In: Review of quantitative finance and accounting 64 (2025) 2, pp. 537-574

Persistent link: https://www.econbiz.de/10015194599

Exploring interconnections and risk evaluation of green equities and bonds : fresh perspectives from TVP-VAR model and wavelet-based VaR analysis

Yousfi, Mohamed; Bouzgarrou, Houssam - In: China finance review international 15 (2025) 1, pp. 117-139

Persistent link: https://www.econbiz.de/10015323953

Risk sharing with lambda value at risk

Liu, Peng - In: Mathematics of operations research 50 (2025) 1, pp. 313-333

Persistent link: https://www.econbiz.de/10015211691

Uniqueness of convex-ranged probabilities and applications to risk measures and games

Amarante, Massimiliano; Liebrich, Felix-Benedikt; … - In: Mathematics of operations research 50 (2025) 1, pp. 743-763

Persistent link: https://www.econbiz.de/10015211767

No shortfall of ES estimators : insights from cryptocurrency portfolios

Horváth, Matúš; Výrost, Tomáš - In: Finance research letters 73 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015211889

Risk and solvency regulation in Europe

Doff, Rene - In: Handbook of Insurance : Volume II, (pp. 483-500). 2025

Persistent link: https://www.econbiz.de/10015399628

Risk-constrained portfolio choice under rank-dependent utility

Ghossoub, Mario; Zhu, Michael Boyuan - In: Finance and stochastics 29 (2025) 2, pp. 399-442

Persistent link: https://www.econbiz.de/10015394804

How prone are emerging markets' sectoral indices to global uncertainties? : evidence from the quantile connectedness approach with portfolio implications

Khan, Shabeer; Rehman, Mohd Ziaur; Shahzad, Mohammad Rahim - 2025

Persistent link: https://www.econbiz.de/10015398954

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