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Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan; Sharma, Udayan - In: Applied economics 52 (2020) 48, pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
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Relative efficiency of component GARCH-EVT approach in managing intraday market risk
Paul, Samit; Karmakar, Madhusudan - In: Multinational finance journal 21 (2017) 4, pp. 247-283
Persistent link: https://www.econbiz.de/10012547567
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Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Karmakar, Madhusudan; Paul, Samit - In: The energy journal 44 (2023) 2, pp. 139-179
Persistent link: https://www.econbiz.de/10014249083
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Forecasting liquidity-adjusted VaR : a conditional EVT-copula approach
Karmakar, Madhusudan; Khadotra, Ravi - In: Review of financial economics : RFE 41 (2023) 3, pp. 283-321
Persistent link: https://www.econbiz.de/10014336153