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Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall

Eckernkemper, Tobias - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 63-117

Persistent link: https://www.econbiz.de/10011987686

Measuring and testing tail dependence and contagion risk between Major stock markets

Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10011762384

COAALA : a novel approach to understanding extreme stock-bond comovement

Allard, Anne-Florence; Hanbali, Hamza; Smedts, Kristien - 2024

Persistent link: https://www.econbiz.de/10015338817

Assessing some stylized facts about financial market indexes : a Markov copula approach

Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271

Persistent link: https://www.econbiz.de/10010259266

Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges

Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221

Persistent link: https://www.econbiz.de/10012137438

The joint distribution of stock returns is not elliptical

Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10009624498

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

its expected shortfall and its multivariate lower tail dependence with the systematic factors of the Carhart (1997) model …

Persistent link: https://www.econbiz.de/10011993538

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81

Persistent link: https://www.econbiz.de/10011973844

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...

Persistent link: https://www.econbiz.de/10011906204