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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

Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach

Ji, Qiang; Liu, Bing-Yue; Nehler, Henrik; Uddin, … - In: Energy economics 76 (2018), pp. 115-126

Persistent link: https://www.econbiz.de/10011976598

Risk correlation based on time-varying copula function and extreme value theory

Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229

Persistent link: https://www.econbiz.de/10011786009

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...

Persistent link: https://www.econbiz.de/10009620388

GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts

Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190

Persistent link: https://www.econbiz.de/10010400299

Unexpected tails in risk measurement : some international evidence

Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493

Persistent link: https://www.econbiz.de/10010404698

Value-at-risk and expected shortfall : a dual long memory framework

Mighri, Zouheir; Mansouri, Fayçal; Hewings, Geoffrey - In: Global business & economics review 16 (2014) 4, pp. 416-451

Persistent link: https://www.econbiz.de/10010495693

Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450

Choosing expected shortfall over VaR in Basel III using stochastic dominance

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...

Persistent link: https://www.econbiz.de/10011431395