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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764

Persistent link: https://www.econbiz.de/10012207145

Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model

Ji, Qiang; Liu, Bing-Yue; Fan, Ying - In: Energy economics 77 (2019), pp. 80-92

Persistent link: https://www.econbiz.de/10012306349

Asymmetric dependence in international currency markets

Paltalidis, Nikos; Patsika, Victoria - In: The European journal of finance 26 (2020) 10, pp. 994-1017

Persistent link: https://www.econbiz.de/10012207352

How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice

Dimitriadis, Timo; Halbleib, Roxana - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

Persistent link: https://www.econbiz.de/10012317619

Retailer value-at-risk in interconnected power markets : an Australian empirical analysis

Handika, Rangga; Triandaru, Sigit - In: International journal of economics and financial issues … 6 (2016) 6, pp. 6-9

Persistent link: https://www.econbiz.de/10011782375

Risk and ambiguity in turbulent times

Brenner, Menachem; Izhakian, Yehuda - In: The Quarterly Journal of Finance : QJF 12 (2022) 1, pp. 2240001-1-2240001-16

Persistent link: https://www.econbiz.de/10013174941

Optimal strategies with option compensation under mean reverting returns or volatilities

Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69

Persistent link: https://www.econbiz.de/10011993415

Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

Foreign participation in the local currency bond markets of emerging market economies : good or bad for market resilience and financial stability?

Hongkong / Monetary Authority - In: Financial market development, monetary policy and …, (pp. 133-140). 2020

Persistent link: https://www.econbiz.de/10012432996

When do capital inflow surges end in tears?

Ghosh, Atish R.; Ostry, Jonathan David; Qureshi, … - In: The American economic review 106 (2016) 5, pp. 581-585

Persistent link: https://www.econbiz.de/10011700237