Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models
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DOI: 10.1016/j.physa.2015.10.088
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Cited by:
- Xinyu Yuan & Jiechen Tang & Wing-Keung Wong & Songsak Sriboonchitta, 2020. "Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach," Sustainability, MDPI, vol. 12(1), pages 1-17, January.
- Wang, Qin & Li, Xianhua, 2024. "Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Herteliu, Claudiu & Levantesi, Susanna & Rotundo, Giulia, 2021. "Network analysis of pension funds investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 579(C).
- Luo, Changqing & Liu, Lan & Wang, Da, 2021. "Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Chunyi Lu & Zhuoqi Teng & Yu Gao & Renhong Wu & Md. Alamgir Hossain & Yuantao Fang, 2022. "Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1501-1524, April.
- Sui, Xin & Li, Liang, 2018. "Guarantee network model and risk contagion," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 323-329.
- Sui, Xin & Li, Liang & Chen, Xiaohui, 2020. "Risk contagion caused by interactions between credit and guarantee networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
- Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
- Bai, Lan & Zhang, Xuhui & Liu, Yuntong & Wang, Qian, 2019. "Economic risk contagion among major economies: New evidence from EPU spillover analysis in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
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Keywords
Dynamic correlations; Risk contagion; Mixed assets; Copula; VaR measurement;All these keywords.
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