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Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas

Boako, Gideon; Alagidede, Paul - In: Journal of multinational financial management 41 (2017), pp. 92-114

Persistent link: https://www.econbiz.de/10011927874

Copula approaches for modeling cross-sectional dependence of data breach losses

Eling, Martin; Jung, Kwangmin - In: Insurance / Mathematics & economics 82 (2018), pp. 167-180

Persistent link: https://www.econbiz.de/10011929865

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

Eckernkemper, Tobias - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 63-117

Persistent link: https://www.econbiz.de/10011987686

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

Shahzad, Syed Jawad Hussain; Arreola-Hernandez, Jose; … - In: Journal of international financial markets, … 56 (2018), pp. 104-127

Persistent link: https://www.econbiz.de/10011990981

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538