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Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
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Network effects on risk co-movements : a network quantile autoregression-based analysis
Chen, Yu; Gao, Yu; Shu, Lei; Zhu, Xiaonan - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473650
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Asymmetric tail dependence in cryptocurrency markets : a Model-free approach
Ahn, Yongkil - In: Finance research letters 47 (2022) 2, pp. 1-5
Persistent link: https://www.econbiz.de/10013553804
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The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders
Cotter, John; Dowd, Kevin - In: Finance research letters 4 (2007) 3, pp. 146-154
Persistent link: https://www.econbiz.de/10003702364
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Robust multivairiate extreme value at risk allocation
Belhajjam, Abdellah; Belbachir, Mohammadine; El … - In: Finance research letters 23 (2017), pp. 1-11
Persistent link: https://www.econbiz.de/10011808275
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Happiness and gold prices
Byström, Hans N. E. - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012439083
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH
Blazsek, Szabolcs; Carrizo, Daniela; Eskildsen, Ricardo; … - In: Finance research letters 24 (2018), pp. 193-198
Persistent link: https://www.econbiz.de/10011982571
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Is macroeconomic tail risk contagious to stock idiosyncratic risk?
Yao, Shouyu; Liu, Zezhong; Wang, Chunfeng; Palma, Alessia; … - In: Finance research letters 63 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10014531317
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Tail risks in household finance
Ardakani, Omid M.; Ajina, Rawan - In: Finance research letters 69 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10015079725