Estimating tail-risk using semiparametric conditional variance with an application to meme stocks-Reference-Cited by-同舟云学术

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Estimating tail-risk using semiparametric conditional variance with an application to meme stocks

Published:2022-11 Issue: Volume:82 Page:241-260
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

d’Addona Stefano,Khanom Najrin^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference49 articles.

1. Developing a stress testing framework based on market risk models;Alexander;Journal of Banking & Finance,2008

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. Amendment to the capital accord to incorporate market risks,1996

4. International convergence of capital measurement and capital standards,2006

5. Revisions to the Basel II market risk framework,2010

Cited by 3 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. The tail wagging the dog: How do meme stocks affect market efficiency?;International Review of Economics & Finance;2023-09

2. What do we know about meme stocks? A bibliometric and systematic review, current streams, developments, and directions for future research;International Review of Economics & Finance;2023-05

3. The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach;Journal of International Financial Markets, Institutions and Money;2023-01

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