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Weiß, Gregor
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ECONIS (ZBW)
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1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
2
Do green financial markets offset the risk of cryptocurrencies and carbon markets?
Siddique, Md Abubakar
;
Nobanee, Haitham
;
Sitara Karim
; …
- In:
International review of economics & finance : IREF
86
(
2023
),
pp. 822-833
Persistent link: https://www.econbiz.de/10014434775
Saved in:
3
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
4
Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets : comparing the impacts of three Stock Connect programs
Yao, Yinhong
;
Li, Jingyu
;
Chen, Wei
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 1217-1233
Persistent link: https://www.econbiz.de/10014446620
Saved in:
5
A time-varying skewness model for Growth-at-Risk
Iseringhausen, Martin
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 229-246
Persistent link: https://www.econbiz.de/10014450268
Saved in:
6
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
7
Downside and upside risk spillovers between financial industry and real economy based on linear and nonlinear networks
Xiang, Youtao
;
Borjigin, Sumuya
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 1337-1374
Persistent link: https://www.econbiz.de/10014475128
Saved in:
8
How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong
;
Li, Min-Jian
;
Xu, Xin
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
Saved in:
9
Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
10
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
11
Financial distress and jump tail risk : evidence from China's listed companies
Liu, Xiaoqun
;
Zhang, Yuchen
;
Tian, Mengqiao
;
Chao, Youcong
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 316-336
Persistent link: https://www.econbiz.de/10014427889
Saved in:
12
The case for CASE : estimating heterogeneous systemic effects
Du, Zaichao
;
Escanciano, Juan Carlos
;
Zhu, Guangwei
- In:
Journal of banking & finance
157
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014490722
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13
Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole
;
Cui, Xuecan
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
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14
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
15
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
16
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
17
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
18
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
Saved in:
19
A new approach to credit ratings
Pertaia, Giorgi
;
Prokhorov, Artem
;
Uryasev, Stan
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
Saved in:
20
Machine-learning-enhanced systemic risk measure : a two-step supervised learning approach
Liu, Ruicheng
;
Pun, Chi Seng
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013448776
Saved in:
21
Contagion and tail risk in complex financial networks
Abduraimova, Kumushoy
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013530779
Saved in:
22
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
23
Risk measure index tracking model
Sant'Anna, Leonardo Riegel
;
Righi, Marcelo Brutti
; …
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 361-383
Persistent link: https://www.econbiz.de/10013342032
Saved in:
24
Orthogonal portfolios to assess estimation risk
Chávez-Bedoya, Luis
;
Rosales, Francisco
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 906-937
Persistent link: https://www.econbiz.de/10013342794
Saved in:
25
Book-to-market equity and asset correlations : an international study
Ho, Kung-Cheng
;
Lee, Shih-Cheng
;
Chen, Jiun-Lin
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 258-274
Persistent link: https://www.econbiz.de/10013343395
Saved in:
26
A cryptocurrency empirical study focused on evaluating their distribution functions
López-Martín, Carmen
;
Arguedas-Sanz, Raquel
;
Muela, …
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 387-407
Persistent link: https://www.econbiz.de/10013345665
Saved in:
27
Nonparametric expected shortfall forecasting incorporating weighted quantiles
Storti, Giuseppe
;
Wang, Chao
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
Saved in:
28
On single point forecasts for fat-tailed variables
Taleb, Nassim Nicholas
;
Bar-Yam, Yaneer
;
Cirillo, Pasquale
- In:
International journal of forecasting
38
(
2022
)
2
,
pp. 413-422
Persistent link: https://www.econbiz.de/10013348601
Saved in:
29
Adjusted expected shortfall
Burzoni, Matteo
;
Munari, Cosimo-Andrea
;
Wang, Ruodu
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013399973
Saved in:
30
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
31
Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano
;
Khanom, Najrin
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
Saved in:
32
Evaluating quantile forecasts in the M5 uncertainty competition
Chen, Zhi
;
Gaba, Anil
;
Tsetlin, Ilia
;
Winkler, Robert L.
- In:
International journal of forecasting
38
(
2022
)
4
,
pp. 1531-1545
Persistent link: https://www.econbiz.de/10014381153
Saved in:
33
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
34
Modelling extremal dependence for operational risk by a bipartite graph
Kley, Oliver
;
Klüppelberg, Claudia
;
Paterlini, Sandra
- In:
Journal of banking & finance
117
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012495775
Saved in:
35
Systemic risk measures and distribution forecasting of macroeconomic shocks
Chen, Guojin
;
Liu, Yanzhen
;
Zhang, Yu
- In:
International review of economics & finance : IREF
75
(
2021
),
pp. 178-196
Persistent link: https://www.econbiz.de/10012692464
Saved in:
36
Systemic-systematic risk in financial system : a dynamic ranking based on expectiles
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
International review of economics & finance : IREF
75
(
2021
),
pp. 330-365
Persistent link: https://www.econbiz.de/10012692497
Saved in:
37
Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Liu, Yezheng
- In:
International review of economics & finance : IREF
75
(
2021
),
pp. 386-398
Persistent link: https://www.econbiz.de/10012692552
Saved in:
38
Systemic risk in international stock markets : role of the oil market
Yin, Libo
;
Feng, Jiabao
;
Han, Liyan
- In:
International review of economics & finance : IREF
71
(
2021
),
pp. 592-619
Persistent link: https://www.econbiz.de/10012627999
Saved in:
39
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
40
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
41
Forecasting macroeconomic risks
Adams, Patrick A.
;
Adrian, Tobias
;
Boyarchenko, Nina
; …
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1173-1191
Persistent link: https://www.econbiz.de/10012794835
Saved in:
42
Systemic risk allocation using the asymptotic marginal expected shortfall
Qin, Xiao
;
Chen Zhou
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012820456
Saved in:
43
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
44
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
45
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
Saved in:
46
Downside risk and the performance of volatility-managed portfolios
Wang, Feifei
;
Yan, Xuemin Sterling
- In:
Journal of banking & finance
131
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013365948
Saved in:
47
Asymmetric jump beta estimation with implications for portfolio risk management
Alexeev, Vitali
;
Urga, Giovanni
;
Yao, Wenying
- In:
International review of economics & finance : IREF
62
(
2019
),
pp. 20-40
Persistent link: https://www.econbiz.de/10012205461
Saved in:
48
Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos
- In:
International journal of forecasting
35
(
2019
)
3
,
pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
Saved in:
49
Investor sentiment and the Chinese new energy stock market : a risk-return perspective
Shen, Yiran
;
Liu, Chang
;
Sun, Xiaolei
;
Guo, Kun
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 395-408
Persistent link: https://www.econbiz.de/10014364072
Saved in:
50
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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