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Construction and backtesting of a multi-factor stress-scenario for the stock market

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Assessing high-risk scenarios by full-range tail dependence copulas

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Measuring systemic risk : common factor exposures and tail dependence effects

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Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall

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A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling

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Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

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