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Systemic risk measurement : multivariate GARCH estimation of CoVaR

Girardi, Giulio; Ergün, Tolga A. - In: Journal of banking & finance 37 (2013) 8, pp. 3169-3180

Persistent link: https://www.econbiz.de/10009778470

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

The econometrics of Bayesian graphical models : a review with financial application

Ahelegbey, Daniel Felix - In: The journal of network theory in finance 2 (2016) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011578906

Time varying quantile Lasso

Zbonakova, Lenka; Härdle, Wolfgang; Wang, Weining - 2016

In the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter ? can be observed...

Persistent link: https://www.econbiz.de/10011557306

Systemic risk : an asymptotic evaluation

Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698

Persistent link: https://www.econbiz.de/10011875678

Market integration, systemic risk and diagnostic tests in large mixed panels

Wang, Cindy S. H.; Hsiao, Cheng; Yang, Hao-Hsiang - In: Econometric reviews 40 (2021) 8, pp. 750-795

Persistent link: https://www.econbiz.de/10012624538

Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR

Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833

Persistent link: https://www.econbiz.de/10012207151

Modeling time-varying tail dependence, with application to systemic risk forecasting

Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 5, pp. 1007-1037

Persistent link: https://www.econbiz.de/10013460046

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

-activity securities infrequently traded on financial markets. The model retains tractability even as the number of securities increases …

Persistent link: https://www.econbiz.de/10014446758

Event studies and systems methods : some additional evidence

McDonald, Bill - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 4, pp. 495-504

Persistent link: https://www.econbiz.de/10001043892