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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78

Persistent link: https://www.econbiz.de/10011326305

Forecasting value at risk (VaR) for emerging and developed markets

Naimy, Viviane; Bou Zeidan, Melissa - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10012173924

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

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Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets

Chang, Chia-Lin - 2009

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

Persistent link: https://www.econbiz.de/10013159992

Filtered historical simulation Value-at-Risk models and their competitors

Gurrola-Perez, Pedro; Murphy, David - 2015

Persistent link: https://www.econbiz.de/10010497517

Hedge funds risk and connectedness

Manicaro, Christian; Falzon, Joseph - In: The journal of asset management 18 (2017) 4, pp. 295-316

Persistent link: https://www.econbiz.de/10011741590

Intraday risk management in International stock markets : a conditional EVT approach

Karmakar, Madhusudan; Paul, Samit - In: International review of financial analysis 44 (2016), pp. 34-55

Persistent link: https://www.econbiz.de/10011623805

Asymmetric volatility, skewness, and downside risk in different asset classes : evidence from futures markets

Tse, Yiuman - In: The financial review : the official publication of the … 51 (2016) 1, pp. 83-111

Persistent link: https://www.econbiz.de/10011436801

Estimating value-at-risk models for non-conventional equity market index

Baig, Ahmed S.; Butt, Hassan A.; Khalid, Rizwan - In: Review of financial economics : RFE 40 (2022) 1, pp. 63-76

Persistent link: https://www.econbiz.de/10012815921

How do the global equity and bond markets affect Islamic and conventional banks? : a comparative cross-country analysis using multivariate regression quantiles

Aydemir, Resul; Atan, Huzeyfe Zahit; Güloğlu, Bülent - In: Eurasian economic review : a journal in applied … 12 (2022) 1, pp. 95-114

Persistent link: https://www.econbiz.de/10013175261