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~isPartOf:"Dresdner Beiträge zu quantitativen Verfahren"
~isPartOf:"Pacific-Basin finance journal"
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Risikomaß
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Dresdner Beiträge zu quantitativen Verfahren
Pacific-Basin finance journal
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217
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181
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121
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110
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ECONIS (ZBW)
43
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1
Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Wu, Xinyu
;
Qian, Jia
;
Zhao, Xiaohan
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014491122
Saved in:
2
Forecasting VaRs via hybrid EVT with normal and non-normal filters : a comparative analysis from the Chinese stock market
Tong, Bin
;
Diao, Xundi
;
Li, Xiaoping
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014491148
Saved in:
3
Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios
Tsai, Jeffrey Tzuhao
;
Lo, Chien-Ling
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014491177
Saved in:
4
Does systemic risk affect fund managers' tail risk-taking?
Xuan, Quansheng
;
Li, Zhiyong
;
Zhao, Tianyu
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014491185
Saved in:
5
Can firms with higher ESG ratings bear higher bank systemic tail risk spillover? : evidence from Chinese A-share market
Ling, Aifan
;
Li, Jinlong
;
Zhang, Yugui
- In:
Pacific-Basin finance journal
80
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463311
Saved in:
6
Systemically important financial institutions and drivers of systemic risk : evidence from India
Narayan, Shivani
;
Kumar, Dilip
;
Bouri, Elie
- In:
Pacific-Basin finance journal
82
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014463391
Saved in:
7
Assessing jump and cojumps in financial asset returns with applications in futures markets
Yeh, Jin-huei
;
Yun, Mu Shu
- In:
Pacific-Basin finance journal
82
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014463584
Saved in:
8
The world price of tail risk
Lee, Kuan-hui
;
Yang, Cheol-Won
- In:
Pacific-Basin finance journal
71
(
2022
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014513928
Saved in:
9
Tail risks, firm characteristics, and stock returns
Wang, Chen
;
Xiong, Xiong
;
Shen, Dehua
- In:
Pacific-Basin finance journal
75
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013552558
Saved in:
10
Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
Hanif, Waqas
;
Areola Hernandez, Jose
;
Troster, Victor
; …
- In:
Pacific-Basin finance journal
74
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013389474
Saved in:
11
Extreme linkages between foreign exchange and general financial markets
Wu, Chih-Chiang
;
Chen, Wei Peng
;
Korsakul, Nattawadee
- In:
Pacific-Basin finance journal
65
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013209544
Saved in:
12
Downside risk, financial conditions and systemic risk in China
Wang, Bo
;
Li, Haoran
- In:
Pacific-Basin finance journal
68
(
2021
),
pp. 1-47
Persistent link: https://www.econbiz.de/10013332753
Saved in:
13
Value at risk and the cross-section of expected returns : evidence from China
Gui, Pingshu
;
Zhu, Yifeng
- In:
Pacific-Basin finance journal
66
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013252854
Saved in:
14
Risikomaße
Huschens, Stefan
-
2017
Persistent link: https://www.econbiz.de/10013441255
Saved in:
15
Increasing the risk management effectiveness from higher accuracy : a novel non-parametric method
Huang, Jinbo
;
Ding, Ashley
;
Li, Yong
;
Lu, Dong
- In:
Pacific-Basin finance journal
62
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012491732
Saved in:
16
Sequential forecasting of downside extreme risk during overnight and daytime : evidence from the Chinese Stock Market
Jian, Zhihong
;
Li, Xupei
;
Zhu, Zhican
- In:
Pacific-Basin finance journal
64
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012493928
Saved in:
17
Do Islamic indices provide diversification to bitcoin? : a time-varying copulas and value at risk application
Ur Rehman, Mobeen
;
Asghar, Nadia
;
Kang, Sang Hoon
- In:
Pacific-Basin finance journal
61
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012494418
Saved in:
18
Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li
;
Liu, Xi-Hua
;
Xiong, Xiong
- In:
Pacific-Basin finance journal
55
(
2019
),
pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
Saved in:
19
Tail risk and expected stock returns around the world
Long, Huaigang
;
Zhu, Yanjian
;
Chen, Lifang
;
Jiang, Yuexiang
- In:
Pacific-Basin finance journal
56
(
2019
),
pp. 162-178
Persistent link: https://www.econbiz.de/10012169574
Saved in:
20
Financial structure and determinants of systemic risk contribution
Qin, Xiao
;
Zhou, Chunyang
- In:
Pacific-Basin finance journal
57
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012170568
Saved in:
21
Measuring systemic risk of the banking industry in China : a DCC-MIDAS-t approach
Xu, Qifa
;
Chen, Lu
;
Jiang, Cuixia
;
Yuan, Jing
- In:
Pacific-Basin finance journal
51
(
2018
),
pp. 13-31
Persistent link: https://www.econbiz.de/10012035069
Saved in:
22
Modeling extreme risks in commodities and commodity currencies
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
Pacific-Basin finance journal
51
(
2018
),
pp. 108-120
Persistent link: https://www.econbiz.de/10012035118
Saved in:
23
Financial tail risks in conventional and Islamic stock markets : a comparative analysis
Muteba Mwamba, John
;
Hammoudeh, Shawkat
;
Gupta, Rangan
- In:
Pacific-Basin finance journal
42
(
2017
),
pp. 60-82
Persistent link: https://www.econbiz.de/10011800542
Saved in:
24
Governance mechanisms and downside risk
Wang, Li-hsun
;
Lin, Chu-Hsiung
;
Fung, Hung-gay
;
Chen, …
- In:
Pacific-Basin finance journal
35
(
2015
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10011540653
Saved in:
25
Empirical tests on the liquidity-adjusted capital asset pricing model
Vu, Van
;
Chai, Daniel
;
Do, Viet
- In:
Pacific-Basin finance journal
35
(
2015
)
1
,
pp. 73-89
Persistent link: https://www.econbiz.de/10011538103
Saved in:
26
Risk contributions of trading and non-trading hours : evidence from Chinese commodity futures markets
Liu, Qingfu
;
An, Yunbi
- In:
Pacific-Basin finance journal
30
(
2014
),
pp. 17-29
Persistent link: https://www.econbiz.de/10010495690
Saved in:
27
Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho
;
Moon, Hyejung
- In:
Pacific-Basin finance journal
27
(
2014
),
pp. 94-114
Persistent link: https://www.econbiz.de/10010499711
Saved in:
28
Style analysis and value-at-risk of Asia-focused hedge funds
Weng, Haijie
;
Trück, Stefan
- In:
Pacific-Basin finance journal
19
(
2011
)
5
,
pp. 491-510
Persistent link: https://www.econbiz.de/10009309766
Saved in:
29
Confidence intervals for asset correlations in the asymptotic single risk factor model
Höse, Steffi
-
2011
Persistent link: https://www.econbiz.de/10013441202
Saved in:
30
Stochastic orders and non-Gaussian risk factor models
Höse, Steffi
-
2011
Persistent link: https://www.econbiz.de/10013441203
Saved in:
31
Confidence intervals for quantiles of a vasicek-distributed credit portfolio loss
Höse, Steffi
-
2010
Persistent link: https://www.econbiz.de/10013441191
Saved in:
32
Risikomaßzahlen für Kreditportfoliotranchen
Tillich, Daniel
-
2010
Persistent link: https://www.econbiz.de/10013441192
Saved in:
33
Confidence intervals for correlations in the asymptotic single risk factor model
Höse, Steffi
-
2009
Persistent link: https://www.econbiz.de/10013441199
Saved in:
34
Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
Da Veiga, Bernardo
;
Chan, Felix
;
McAleer, Michael
- In:
Pacific-Basin finance journal
16
(
2008
)
4
,
pp. 453-475
Persistent link: https://www.econbiz.de/10003757401
Saved in:
35
Value-at-risk: applying the extreme value approach to Asian markets in the recent financial turmoil
Ho, Lan-chih
(
contributor
)
- In:
Pacific-Basin finance journal
8
(
2000
)
2
,
pp. 249-275
Persistent link: https://www.econbiz.de/10001490443
Saved in:
36
Value-at-Risk-Berechnung durch historische Simulation
Huschens, Stefan
-
2000
Persistent link: https://www.econbiz.de/10001558047
Saved in:
37
Von der Markt- zur Kreditrisikomessung
Huschens, Stefan
-
2000
Persistent link: https://www.econbiz.de/10013440957
Saved in:
38
Anmerkungen zur Value-at-Risk-Definition
Huschens, Stefan
-
1999
Persistent link: https://www.econbiz.de/10001425944
Saved in:
39
Verfahren zur Value-at-Risk-Berechnung
Huschens, Stefan
-
1999
Persistent link: https://www.econbiz.de/10001425947
Saved in:
40
Value-at-Risk-Schlaglichter
Huschens, Stefan
-
1998
Persistent link: https://www.econbiz.de/10000981525
Saved in:
41
Value-at-Risk-Schlaglichter : Ausgabe 2/1998
Huschens, Stefan
-
1998
-
2. Ausg
Persistent link: https://www.econbiz.de/10000996150
Saved in:
42
Measuring risk in value-at-risk based on student's t-distribution
Huschens, Stefan
;
Kurz-Kim, Jeong-Ryeol
-
1998
Persistent link: https://www.econbiz.de/10001422900
Saved in:
43
Measuring risk in value-at-risk in the presence of infinite variance
Huschens, Stefan
-
1998
Persistent link: https://www.econbiz.de/10013440918
Saved in:
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