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Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach
Ji, Qiang; Liu, Bing-Yue; Nehler, Henrik; Uddin, … - In: Energy economics 76 (2018), pp. 115-126
Persistent link: https://www.econbiz.de/10011976598
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Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Kielmann, Julia; Manner, Hans; Min, Aleksey - 2021
Persistent link: https://www.econbiz.de/10012503368
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Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Kielmann, Julia; Manner, Hans; Min, Aleksey - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1543-1574
Persistent link: https://www.econbiz.de/10013197238
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GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
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Value-at-risk and expected shortfall : a dual long memory framework
Mighri, Zouheir; Mansouri, Fayçal; Hewings, Geoffrey - In: Global business & economics review 16 (2014) 4, pp. 416-451
Persistent link: https://www.econbiz.de/10010495693
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Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models
Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54
Persistent link: https://www.econbiz.de/10010474200
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Extreme risk, value-at-risk and expected shortfall in the gold market
Chinhamu, Knowledge; Huang, Chun-Kai; Huang, Chun-Sung; … - In: International business and economics research journal 14 (2015) 1, pp. 107-122
Persistent link: https://www.econbiz.de/10010529381
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
Lauenstein, Philipp; Walther, Thomas - In: International journal of financial engineering and risk … 2 (2016) 3, pp. 172-199
Persistent link: https://www.econbiz.de/10011778834
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Volatility forecasting and risk management in some MENA stock markets : a nonlinear framework
Aloui, Chaker - In: Afro-Asian Journal of Finance and Accounting : AAJFA 5 (2015) 2, pp. 160-192
Persistent link: https://www.econbiz.de/10011529632