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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
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Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
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Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...
Persistent link: https://www.econbiz.de/10014532413
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FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473652
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin; Singh, Abhay Kumar; Okhrin, Ostap - In: Quantitative finance 22 (2022) 9, pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
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Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.; Ponrajah, Jeremey - 2024
Persistent link: https://www.econbiz.de/10015052590
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International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - In: Journal of forecasting 32 (2013) 3, pp. 267-288
Persistent link: https://www.econbiz.de/10009758640