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~isPartOf:"Working papers / Ryerson University, Department of Economics"
~isPartOf:"Quantitative finance"
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ECONIS (ZBW)
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Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
2
Hedging cryptos with Bitcoin futures
Liu, Francis
;
Packham, Natalie
;
Lu, Meng-Jou
;
Härdle, …
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
Saved in:
3
Portfolios of value and momentum : disappointment aversion and non-normalities
Lalancette, Simon
;
Simonato, Jean-Guy
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1247-1263
Persistent link: https://www.econbiz.de/10013367897
Saved in:
4
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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5
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
Bellini, Fabio
;
Mercuri, Lorenzo
;
Rroji, Edit
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1839-1848
Persistent link: https://www.econbiz.de/10012313519
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6
Sovereign risk zones in Europe during and after the debt crisis
Arakelian, Veni
;
Dellaportas, Petros
;
Savona, Roberto
; …
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 961-980
Persistent link: https://www.econbiz.de/10012194735
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7
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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8
Neural network copula portfolio optimization for exchange traded funds
Zhao, Yang
;
Stasinakis, Charalampos
;
Sermpinis, Georgios
; …
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 761-775
Persistent link: https://www.econbiz.de/10011907933
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9
The shifting dependence dynamics between the G7 stock markets
BenSaïda, Ahmed
;
Boubaker, Sabri
;
Nguyen, Duc Khuong
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 801-812
Persistent link: https://www.econbiz.de/10011907944
Saved in:
10
Statistical arbitrage with vine copulas
Stübinger, Johannes
;
Mangold, Benedikt
;
Krauss, Christopher
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1831-1849
Persistent link: https://www.econbiz.de/10012262849
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11
Asymmetric dependence between aggregate consumption and financial risk
Chollete, Lorán
;
Ning, Cathy Q.
-
2012
Persistent link: https://www.econbiz.de/10011382416
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12
Extreme dependence in international stock markets
Ning, Cathy Q.
-
2009
Persistent link: https://www.econbiz.de/10008758209
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13
Modeling asymmetric volatility clusters using copulas and high frequency data
Ning, Cathy Q.
;
Xu, Dinghai
;
Wirjanto, Tony S.
-
2009
Persistent link: https://www.econbiz.de/10008758211
Saved in:
14
The dependence structure of macroeconomic variables in the US
Chollete, Lor´an
;
Ning, Cathy Q.
-
2009
Persistent link: https://www.econbiz.de/10008758212
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