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On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

Bekiros, Stelios; Loukeris, Nikolaos; Eleftheriadis, … - In: Computational economics 53 (2019) 2, pp. 783-816

Persistent link: https://www.econbiz.de/10012134868

Measuring systemic risk : a comparison of alternative market-based approaches

Kleinow, Jacob; Moreira, Fernando; Strobl, Sascha; … - In: Finance research letters 21 (2017), pp. 40-46

Persistent link: https://www.econbiz.de/10011807485

Risk measures in finance : congruent or contrasting?

Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180

Persistent link: https://www.econbiz.de/10012391033

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility

Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022

Persistent link: https://www.econbiz.de/10013539142

Value-at-risk prediction using option-implied risk measures

Schindelhauer, Kai; Chen Zhou - 2018

Persistent link: https://www.econbiz.de/10011920835

Monitoring value-at-risk and expected shortfall forecasts

Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971

Persistent link: https://www.econbiz.de/10014305469

Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

Persistent link: https://www.econbiz.de/10013214142