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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 1
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Original Articles

Conditional Extremes in Asymmetric Financial Markets

Natalia NoldeDepartment of Statistics, University of British Columbia, Vancouver, BC V6T 1Z4, Canada ([email protected])
&
Jinyuan ZhangINSEAD, Department of Finance, Fontainebleau 77300, France ([email protected])
Pages 201-213 | Received 01 Jul 2016, Published online: 31 Jul 2018

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Tobias Fissler & Yannick Hoga. (2023) Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability. Journal of Business & Economic Statistics 0:0, pages 1-14.
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Tingting Zhang, Zhenpeng Tang, Xiaoxu Du & Linjie Zhan. (2022) Research on systemic risk contagion of Chinese financial institutions based on GARCH-VMD-Copula-CoVaR model. Economic Research-Ekonomska Istraživanja 35:1, pages 4404-4424.
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Yannick Hoga. (2020) Where does the tail begin? An approach based on scoring rules. Econometric Reviews 39:6, pages 579-601.
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Zinoviy Landsman, Udi Makov & Tomer Shushi. (2020) Analytic solution to the portfolio optimization problem in a mean-variance-skewness model. The European Journal of Finance 26:2-3, pages 165-178.
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Articles from other publishers (5)

Yannick Hoga. (2022) Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting. Journal of Financial Econometrics 20:5, pages 1007-1037.
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George Tzagkarakis & Frantz Maurer. (2022) Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. Computational Economics.
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Laleh Tafakori, Armin Pourkhanali & Riccardo Rastelli. (2021) Measuring systemic risk and contagion in the European financial network. Empirical Economics 63:1, pages 345-389.
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Natalia NoldeChen Zhou. (2021) Extreme Value Analysis for Financial Risk Management. Annual Review of Statistics and Its Application 8:1, pages 217-240.
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Guoxiang Xu & Wangfeng Gao. (2019) Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. Sustainability 11:5, pages 1402.
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