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Tail dependence measure for examining financial extreme co-movements

Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348

Persistent link: https://www.econbiz.de/10011705189

Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach

Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228

Persistent link: https://www.econbiz.de/10010418906

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - 2015

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...

Persistent link: https://www.econbiz.de/10011334117

Forecasting based on decomposed financial return series : a wavelet analysis

Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433

Persistent link: https://www.econbiz.de/10011580976

The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization

Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303

Persistent link: https://www.econbiz.de/10014301231

Nonparametric inference for distortion risk measures on tail regions

Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110

Persistent link: https://www.econbiz.de/10012133516

Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148

Persistent link: https://www.econbiz.de/10012176750

How often is the financial market going to collapse?

Frahm, Gabriel - In: Quantitative finance and economics 2 (2018) 3, pp. 590-614

Persistent link: https://www.econbiz.de/10012156795

Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas

Hussain, Saiful Izzuan; Li, Steven - In: The world economy : the leading journal on … 45 (2022) 1, pp. 317-335

Persistent link: https://www.econbiz.de/10012818942

Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10013380409