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Measuring systemic risk with high-frequency data : a realized GARCH approach

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472723

Forecasting expected shortfall : should we use a multivariate model for stock market factors?

Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331

Persistent link: https://www.econbiz.de/10014462782

The relationship between energy and equity markets : evidence from volatility impulse response functions

Olson, Eric; Vivian, Andrew J.; Wohar, Mark E. - In: Energy economics 43 (2014), pp. 297-305

Persistent link: https://www.econbiz.de/10010504812

Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

Persistent link: https://www.econbiz.de/10012027269

Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles

Sun, Edward W.; Wang, Yu-Jen; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 627-652

Persistent link: https://www.econbiz.de/10012053017

Intraday Value at Risk Estimation with Multivariate Intensity Models : An Application to Cryptocurrencies

Patino, Mariana; Peter, Franziska J. - 2023

We implement multivariate, self-exciting Peaks-over-Threshold (POT) methods to measure extremal losses in high-frequency return series of cryptocurrencies. For that purpose, we implement trivariate Hawkes-POT and the autoregressive conditional intensity ACI-POT models for Bitcoin, Ethereum, and...

Persistent link: https://www.econbiz.de/10014254807

Exponential smoothing of realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam - In: Journal of empirical finance 53 (2019), pp. 222-237

Persistent link: https://www.econbiz.de/10012171651

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

Market risk modeling with option-implied covariances and score-driven dynamics

Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014534822

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912