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Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Nakajima, Tadahiro; Hamori, Shigeyuki - 2022
hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA …
Persistent link: https://www.econbiz.de/10013431279
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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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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
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Tail risk optimized portfolio across states in Asia-Pacific markets with higher-order dependence
Kumar, Saurav; Bhattacharya, Sujoy; Mandal, Satrajit - In: Macroeconomics and finance in emerging market economies 15 (2022) 2, pp. 177-195
Persistent link: https://www.econbiz.de/10013350325
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Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
Hanif, Waqas; Areola Hernandez, Jose; Troster, Victor; … - In: Pacific-Basin finance journal 74 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013389474
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Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints
Teplova, Tamara V.; Evgeniia, Mikova; Munir, Qaiser; … - In: Economic change & restructuring 56 (2023) 1, pp. 515-535
Persistent link: https://www.econbiz.de/10013536410
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Forecasting liquidity-adjusted VaR : a conditional EVT-copula approach
Karmakar, Madhusudan; Khadotra, Ravi - In: Review of financial economics : RFE 41 (2023) 3, pp. 283-321
Persistent link: https://www.econbiz.de/10014336153
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Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Afzal, Fahim; Choudhury, Tonmoy; Kamran, Muhammad - In: International journal of Islamic and Middle Eastern … 16 (2023) 1, pp. 59-80
Persistent link: https://www.econbiz.de/10014339621
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GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong; Li, Min-Jian - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
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Intraday VaR : a copula-based approach
Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477064