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Two-sample testing for tail copulas with an application to equity indices

Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021

Persistent link: https://www.econbiz.de/10012586114

Contagion, decoupling and the spillover effects of the US financial crisis : evidence from the BRIC markets

Bekiros, Stelios D. - In: International review of financial analysis 33 (2014), pp. 58-69

Persistent link: https://www.econbiz.de/10010520075

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

A new class of tests of contagion with applications

Fry, Renée; Martin, Vance; Tang, Chrismin - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 423-437

Persistent link: https://www.econbiz.de/10008736165

Joint Tests of Contagion with Applications to Financial Crises

Fry-McKibbin, Renée - 2017

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel....

Persistent link: https://www.econbiz.de/10012960184

Joint Tests of Contagion with Applications to Financial Crises

Fry-McKibbin, Renée - 2017

Persistent link: https://www.econbiz.de/10012944656

Granger causality and systemic risk

Balboa, Marina; López-Espinosa, Germán; Rubia, Antonio - In: Finance research letters 15 (2015), pp. 49-58

Persistent link: https://www.econbiz.de/10011552955

Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages

Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012504161

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Patton, Andrew J.; Ziegel, Johanna; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413

Persistent link: https://www.econbiz.de/10012303806

Dynamic semiparametric models for expected shortfall (and value-at-risk)

Patton, Andrew J.; Ziegel, Johanna; Chen, Rui - 2017

from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and …

Persistent link: https://www.econbiz.de/10011688247