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Measuring contagion risk in high volatility state among Taiwanese major banks

Su, Ender - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 185-241

Persistent link: https://www.econbiz.de/10011885900

The evolution of poverty in the EU-28 : a further look based on multivariate tail dependence

Garcia-Gomez, César; Pérez, Ana; Prieto Alaiz, Mercedes - 2022

Persistent link: https://www.econbiz.de/10013184538

Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies

Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Albulescu, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012659682

Risk aggregation with copula for banking industry

Yoshiba, Toshinao - 2015

Persistent link: https://www.econbiz.de/10011375924

Tail dependence and heavy tailedness in extreme risks

Ji, Liuyan; Ken Seng Tan; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293

Persistent link: https://www.econbiz.de/10012649222

The structure and degree of dependence : a quantile regression approach

Baur, Dirk G. - In: Journal of banking & finance 37 (2013) 3, pp. 786-798

Persistent link: https://www.econbiz.de/10009708741

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model … assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which … are independent of the specifcation of conditional quantiles and simple to interpret. The proposed systemic risk measure …

Persistent link: https://www.econbiz.de/10011309638

Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures

Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71

Persistent link: https://www.econbiz.de/10011625055

System risk of Spanish listed banks : a vine copula CoVaR approach

Reboredo, Juan Carlos; Ugolini, Andrea - In: Spanish journal of finance and accounting 45 (2016) 169, pp. 1-31

Persistent link: https://www.econbiz.de/10011669823

Beware of the crash risk : tail beta and the cross-section of stock returns in China

Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881

Persistent link: https://www.econbiz.de/10012197122