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Journal of international financial markets, institutions & money
Insurance / Mathematics & economics
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European journal of operational research : EJOR
111
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ECONIS (ZBW)
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1
International stock market volatility : a global tail risk sight
Lu, Xinjie
;
Zeng, Qing
;
Zhong, Juandan
;
Zhu, Bo
- In:
Journal of international financial markets, …
91
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
Saved in:
2
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
Dai, Yun-Shi
;
Dai, Peng-Fei
;
Zhou, Wei-Xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014482970
Saved in:
3
Do world stock markets "jump" together? : a measure of high-frequency volatility risk spillover networks
Zhou, Dong-hai
;
Liu, Xiao-xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014483183
Saved in:
4
Average tail risk and aggregate stock returns
Dai, Yingtong
;
Harris, Richard D. F.
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
Saved in:
5
Carry and conditional value at risk trend : capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts
Hertrich, Daniel
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014245938
Saved in:
6
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
Saved in:
7
The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Tian, Maoxi
;
El Khoury, Rim
;
Alshater, Muneer Maher
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014246021
Saved in:
8
Market risks that change US-European equity correlations
Sarwar, Ghulam
- In:
Journal of international financial markets, …
83
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014306348
Saved in:
9
Portfolio risk and stress across the business cycle
Chakraborty, Sandip
;
Kakani, Ram Kumar
;
Sampath, Aravind
- In:
Journal of international financial markets, …
80
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013533149
Saved in:
10
The asymmetry of the Amihud illiquidity measure on the European markets : the evidence from Extreme Value Theory
Będowska-Sójka, Barbara
;
Echaust, Krzysztof
;
Just, …
- In:
Journal of international financial markets, …
78
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013357308
Saved in:
11
Mind the Basel gap
Jylhä, Petri
;
Lof, Matthijs
- In:
Journal of international financial markets, …
79
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013358728
Saved in:
12
International tail risk connectedness : network and determinants
Linh Hoang Nguyen
;
Lambe, Brenda John
- In:
Journal of international financial markets, …
72
(
2021
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012801485
Saved in:
13
Margin requirements and systemic liquidity risk
Bakoush, Mohamed
;
Gerding, Enrico H.
;
Wolfe, Simon
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 78-95
Persistent link: https://www.econbiz.de/10012127827
Saved in:
14
Systematic extreme downside risk
Harris, Richard D. F.
;
Nguyen, Linh
;
Stoja, Evarist
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 128-142
Persistent link: https://www.econbiz.de/10012128287
Saved in:
15
Forward-looking asset correlations in the estimation of economic capital
Chamizo, Álvaro
;
Fonollosa, Alexandre
;
Novales, Alfonso
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 264-288
Persistent link: https://www.econbiz.de/10012128297
Saved in:
16
Contagion risk in global banking sector
Daly, Kevin James
;
Batten, Jonathan A.
;
Mishra, Anil V.
; …
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012263308
Saved in:
17
A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir
;
Caporin, Massimiliano
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
Saved in:
18
More accurate measurement for enhanced controls : VaR vs ES?
Guégan, Dominique
;
Hassani, Bertrand
- In:
Journal of international financial markets, …
54
(
2018
),
pp. 152-165
Persistent link: https://www.econbiz.de/10011984039
Saved in:
19
Using expected shortfall for credit risk regulation
Osmundsen, Kjartan Kloster
- In:
Journal of international financial markets, …
57
(
2018
),
pp. 80-93
Persistent link: https://www.econbiz.de/10012127600
Saved in:
20
A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Shahzad, Syed Jawad Hussain
;
Arreola-Hernandez, Jose
; …
- In:
Journal of international financial markets, …
56
(
2018
),
pp. 104-127
Persistent link: https://www.econbiz.de/10011990981
Saved in:
21
Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Slim, Skander
;
Koubaa, Yosra
;
BenSaïda, Ahmed
- In:
Journal of international financial markets, …
46
(
2017
),
pp. 30-53
Persistent link: https://www.econbiz.de/10011745291
Saved in:
22
Co-movement between sharia stocks and sukuk in the GCC markets : a time-frequency analysis
Aloui, Chaker
;
Hammoudeh, Shawkat
;
Ben Hamida, Hela
- In:
Journal of international financial markets, …
34
(
2015
),
pp. 69-79
Persistent link: https://www.econbiz.de/10011474461
Saved in:
23
Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph
;
Wagner, Niklas F.
- In:
Journal of international financial markets, …
39
(
2015
),
pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
Saved in:
24
Downside risk, portfolio diversification and the financial crisis in the euro-zone
Sarafrazi, Soodabeh
;
Hammoudeh, Shawkat
;
Santos, Paulo …
- In:
Journal of international financial markets, …
32
(
2014
),
pp. 368-396
Persistent link: https://www.econbiz.de/10011299784
Saved in:
25
Bank insolvency risk and time-varying Z-score measures
Lepetit, Lætitia
;
Strobel, Frank
- In:
Journal of international financial markets, …
25
(
2013
),
pp. 73-87
Persistent link: https://www.econbiz.de/10009762805
Saved in:
26
Diversification evidence from international equity markets using extreme values and stochastic copulas
Bhatti, Muhammad Ishaq
;
Nguyen, Cuong
- In:
Journal of international financial markets, …
22
(
2012
)
3
,
pp. 622-646
Persistent link: https://www.econbiz.de/10009623538
Saved in:
27
Book-to-market equity, operating risk, and asset correlations : implications for Basel capital requirement
Lee, Shih-cheng
;
Lin, Chien-ting
- In:
Journal of international financial markets, …
22
(
2012
)
4
,
pp. 973-989
Persistent link: https://www.econbiz.de/10009582493
Saved in:
28
Volatility forecasting : intra-day versus inter-day models
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
Journal of international financial markets, …
18
(
2008
)
5
,
pp. 449-465
Persistent link: https://www.econbiz.de/10003775710
Saved in:
29
Evidence of non-stationary bias in scaling by square root of time : implications for value-at-risk
Saadi, Samir
;
Rahman, Abdul H.
- In:
Journal of international financial markets, …
18
(
2008
)
3
,
pp. 272-289
Persistent link: https://www.econbiz.de/10003710375
Saved in:
30
Empirical analysis of GARCH models in value at risk estimation
So, Mike Ka-pui
;
Yu, Philip L. H.
- In:
Journal of international financial markets, …
16
(
2006
)
2
,
pp. 180-197
Persistent link: https://www.econbiz.de/10003300803
Saved in:
31
Estimation of value-at-risk by extreme value and conventional methods : a comparative evaluation of their predictive performance
Bekiros, Stelios D.
;
Georgoutsos, Demetris A.
- In:
Journal of international financial markets, …
15
(
2005
)
3
,
pp. 209-228
Persistent link: https://www.econbiz.de/10002922157
Saved in:
32
Stress testing using VaR approach - a case for Asian currencies
Tan, Kok-hui
;
Chan, Inn-Leng
- In:
Journal of international financial markets, …
13
(
2003
)
1
,
pp. 39-55
Persistent link: https://www.econbiz.de/10001723750
Saved in:
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