On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
Author:
Publisher
Elsevier BV
Subject
Business and International Management
Reference48 articles.
1. Adrian, T., & Brunnermeier, M. K. (2011). CoVaR. Working paper. Federal Reserve Bank of New York.
2. Developing a stress testing framework based on market risk models;Alexander;Journal of Banking and Finance,2008
3. Evaluating predictive performance of value-at-risk models in emerging markets: a reality check;Bao;Journal of Forecasting,2006
4. An empirical quantile function for linear models with i.i.d. errors;Bassett;Journal of the American Statistical Association,1982
5. Bid-ask spreads and the volatility in the foreign exchange market: an empirical analysis;Bollerslev;Journal of International Economics,1994
Cited by 44 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Forecasting the effect of extreme sea-level rise on financial market risk;International Review of Economics & Finance;2024-06
2. Forecasting downside and upside realized volatility: The role of asymmetric information;The Journal of Economic Asymmetries;2024-06
3. The dynamic quantile approach for VaR estimation: empirical evidence from Indonesia banking industry;Cogent Business & Management;2024-01-24
4. The alphabet and idiosyncratic volatility;Journal of Financial Research;2023-12-22
5. CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features;Journal of the Royal Statistical Society Series C: Applied Statistics;2023-08-31
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3