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Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://www.econbiz.de/10014532413

The impact of geopolitical risk on sustainable markets : a quantile-time-frequency analysis

Helmi, Mohamad Husam; Elsayed, Ahmed; Khalfaoui, Rabeh - In: Finance research letters 64 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014531703

The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises

Liu, Liping; Xu, Jietian; Li, Jixin - In: Finance research letters 64 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014531740

Geopolitical risk and the dynamics of REITs returns

Coën, Alain; Desfleurs, Aurélie - In: Finance research letters 64 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014531761

Geopolitical risk exposure and stock returns : evidence from China

Zhang, Yaojie; Zhang, Yuxuan; Ren, Xinrui; Jin, Meichen - In: Finance research letters 64 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014531770

The fortune and crash of common risk factors in Chinese commodity markets

Li, Hemei; Liu, Zhenya; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014495776

An insurer's optimal strategy towards a new independent business

Chi, Yichun; Huang, Yuxia; Tan, Ken Seng - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10014519973

Risks and risk premia in the US Treasury market

Li, Junye; Sarno, Lucio; Zinna, Gabriele - In: Journal of economic dynamics & control 158 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014532189

Capital inflows to emerging countries and their sensitivity to the global financial cycle

Buono, Ines; Corneli, Flavia; Di Stefano, Enrica - In: International finance : the only journal bridging the … 27 (2024) 1, pp. 17-34

Persistent link: https://www.econbiz.de/10014532194

The impact of digital twins on local industry symbiosis networks in light of the uncertainty caused by the public crisis

Chen, Ziyue; Huang, Lizhen - In: International journal of information systems and supply … 15 (2022) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014294149