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Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation : a comment

Pizzutilo, Fabio - In: Applied economics 47 (2015) 58/60, pp. 6277-6283

Persistent link: https://www.econbiz.de/10011457263

Systematic extreme downside risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

Persistent link: https://www.econbiz.de/10012128287

Financial econometrics and systemic risk

Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...

Persistent link: https://www.econbiz.de/10012604203

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … different asset allocation. We conclude that the standard CAPM assumes short-run investment. Then, investors should consider … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. …

Persistent link: https://www.econbiz.de/10014289044

Systematic tail risk

Oordt, Maarten R. C. van; Chen Zhou - 2013

Persistent link: https://www.econbiz.de/10010225580

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

Comparison of Value at Risk (VaR) multivariate forecast models

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110

Persistent link: https://www.econbiz.de/10014471980

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien Foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960