Search Results - subject:"conditional value at risk"

Forecasting expected shortfall and value-at-risk with cross-sectional aggregation

Wang, Jie; Wang, Yongqiao - In: Journal of forecasting 44 (2025) 2, pp. 391-423

Persistent link: https://www.econbiz.de/10015374044

Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk forecasting

Saulo, Helton; Pal, Suvra; Souza, Rubens; Vila, Roberto; … - In: Journal of forecasting 44 (2025) 2, pp. 589-605

Persistent link: https://www.econbiz.de/10015374068

Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID-19 pandemic : insights from financial markets

Trichilli, Yousra; Gaadane, Sahbi; Abbes, Mouna Boujelbène - 2025

Persistent link: https://www.econbiz.de/10015337856

Measuring systemic risk in China : a new hybrid approach incorporating ensemble learning and risk spillover networks

Huo, Da; Shi, Yongdong; Wang, Chao; Wang, Lihan; Xing, Weize - In: Pacific-Basin finance journal 91 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015405089

Tail risk dynamics of banks with score-driven extreme value models

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: Journal of empirical finance 81 (2025), pp. 1-13

Persistent link: https://www.econbiz.de/10015405419

A novel credit model risk measure : do more data lead to lower model risk?

Yoshida, Valter T.; Schiozer, Rafael Felipe; Genaro, Alan de - In: The quarterly review of economics and finance 100 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015405538

The distributional effects of economic uncertainty

Huber, Florian; Marcellino, Massimiliano; Tornese, Tommaso - 2025

Persistent link: https://www.econbiz.de/10015406444

Comparative analysis of risk measures for optimal hedge ratio determination

Müller, Fernanda Maria; Spindler, Leonardo Teixeira; … - In: Finance research letters 75 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015407284

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Assessing market risk in BRICS and oil markets : an application of Markov switching and vine copula

Muteba Mwamba, John; Mwambi, Sutene Mwambetania - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-22

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

Persistent link: https://www.econbiz.de/10012545199