12
H index
14
i10 index
1323
Citations
American Enterprise Institute | 12 H index 14 i10 index 1323 Citations RESEARCH PRODUCTION: 31 Articles 45 Papers 1 Chapters RESEARCH ACTIVITY: 35 years (1989 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pku379 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Paul H. Kupiec. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Risk Management in Financial Institutions | 6 |
Journal of Financial Stability | 5 |
Journal of Financial Services Research | 4 |
Journal of Applied Corporate Finance | 4 |
Journal of Futures Markets | 3 |
Working Papers Series with more than one paper published | # docs |
---|---|
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 26 |
AEI Economics Working Papers / American Enterprise Institute | 13 |
IMF Working Papers / International Monetary Fund | 4 |
Year | Title of citing document | |
---|---|---|
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2024 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper | |
2024 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2023 | Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664. Full description at Econpapers || Download paper | |
2024 | Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2023 | A CEOs expertise power and bank diversification. (2023). Nadeem, Muhammad ; Gan, Christopher ; Ali, Maisam. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:3815-3840. Full description at Econpapers || Download paper | |
2023 | Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845. Full description at Econpapers || Download paper | |
2024 | Optimal Testing in Disclosure Games. (2024). Mass, Helene ; Lichtig, Avi. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_543. Full description at Econpapers || Download paper | |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper | |
2023 | Measuring Fraud in Banking and its Impact on the Economy: A Quasi-Natural Experiment. (2023). Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp755. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308. Full description at Econpapers || Download paper | |
2023 | Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. (2023). Salgado, Oswaldo Garcia ; Carvajal, Lidia E ; de Jes, Ra L. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-48. Full description at Econpapers || Download paper | |
2024 | Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137. Full description at Econpapers || Download paper | |
2023 | How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper | |
2024 | The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Wang, Dai-Song ; Ren, Zhong-Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991. Full description at Econpapers || Download paper | |
2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper | |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper | |
2024 | Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378. Full description at Econpapers || Download paper | |
2024 | Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731. Full description at Econpapers || Download paper | |
2023 | Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204. Full description at Econpapers || Download paper | |
2023 | Semiparametric modeling of multiple quantiles. (2023). Luati, Alessandra ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper | |
2023 | Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198. Full description at Econpapers || Download paper | |
2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper | |
2023 | Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774. Full description at Econpapers || Download paper | |
2023 | Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market. (2023). Quaglia, Federico ; Grossi, Luigi ; Lisi, Francesco. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001238. Full description at Econpapers || Download paper | |
2023 | Distributional neural networks for electricity price forecasting. (2023). Weron, Rafał ; Ziel, Florian ; Narajewski, Micha ; Marcjasz, Grzegorz. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003419. Full description at Econpapers || Download paper | |
2023 | Modeling extreme risk spillovers between crude oil and Chinese energy futures markets. (2023). Ren, Xiaohang ; JAWADI, Fredj ; Li, Yiying ; Bu, Ruijun ; Sun, Xianming. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005054. Full description at Econpapers || Download paper | |
2023 | Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks. (2023). Bouri, Elie ; Wang, Cheng ; Zhang, Dingsheng ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006199. Full description at Econpapers || Download paper | |
2024 | Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594. Full description at Econpapers || Download paper | |
2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper | |
2024 | Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk. (2024). Li, Zongyuan ; Lai, Rose Neng. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000954. Full description at Econpapers || Download paper | |
2023 | Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050. Full description at Econpapers || Download paper | |
2023 | Bail-in requirements and CoCo bond issuance. (2023). Neitzert, Florian ; Hertrampf, Patrick ; Kund, Arndt-Gerrit. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007450. Full description at Econpapers || Download paper | |
2023 | Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x. Full description at Econpapers || Download paper | |
2023 | Tail risk in the Chinese stock market: An AEV model on the maximal drawdowns. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006669. Full description at Econpapers || Download paper | |
2023 | Unveiling the diversification capabilities of carbon markets in NFT portfolios. (2023). Esparcia, Carlos ; Diaz, Antonio ; Huelamo, Diego. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010048. Full description at Econpapers || Download paper | |
2024 | Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703. Full description at Econpapers || Download paper | |
2023 | A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x. Full description at Econpapers || Download paper | |
2023 | Bank regulations and surges and stops in credit: Panel evidence. (2023). Vasilakis, Chrysovalantis ; Thornton, John. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000347. Full description at Econpapers || Download paper | |
2024 | Extreme quantile estimation for β-mixing time series and applications. (2018). Chavez-Demoulin, Valerie ; Guillou, Armelle. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:59-74. Full description at Econpapers || Download paper | |
2023 | TLAC bonds and bank risk-taking. (2023). Suzuki, Katsushi ; Homma, Yasutake. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:87:y:2023:i:c:s104244312300063x. Full description at Econpapers || Download paper | |
2023 | Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331. Full description at Econpapers || Download paper | |
2023 | Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404. Full description at Econpapers || Download paper | |
2023 | Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735. Full description at Econpapers || Download paper | |
2023 | The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages. (2023). Andreeva, Galina ; Crook, Jonathan ; Bocchio, Cecilia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1655-1677. Full description at Econpapers || Download paper | |
2023 | Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712. Full description at Econpapers || Download paper | |
2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper | |
2024 | 2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347. Full description at Econpapers || Download paper | |
2024 | Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776. Full description at Econpapers || Download paper | |
2023 | Breakup and default risks in the great lockdown. (2023). Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621002600. Full description at Econpapers || Download paper | |
2024 | Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376. Full description at Econpapers || Download paper | |
2024 | Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251. Full description at Econpapers || Download paper | |
2023 | Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. (2023). Rice, John ; Choi, Sun-Yong ; Usman, Muhammad ; Umar, Zaghum. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000831. Full description at Econpapers || Download paper | |
2024 | Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link. (2024). Farraj, Nermeen Abi ; Naimy, Viviane ; Montero, Jose-Maria ; el Khoury, Rim. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123003038. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Research on Risk Measurement of China’s Carbon Trading Market. (2023). He, Chunlei ; Duan, Yanzhi ; Wang, Zhong ; Tang, Nan ; Yao, LI. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:23:p:7879-:d:1292690. Full description at Econpapers || Download paper | |
2023 | Spatial Multivariate GARCH Models and Financial Spillovers. (2023). Cameletti, Michela ; Rujirarangsan, Kamonchai ; Torri, Gabriele ; Giacometti, Rosella. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:397-:d:1233944. Full description at Econpapers || Download paper | |
2023 | The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns. (2023). Chikobvu, Delson ; Ndlovu, Thabani. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:100-:d:1160157. Full description at Econpapers || Download paper | |
2023 | The Impact of ESG Scores on Risk Market Performance. (2023). Aldieri, Luigi ; Candila, Vincenzo ; Amendola, Alessandra. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7183-:d:1132776. Full description at Econpapers || Download paper | |
2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper | |
2023 | The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126. Full description at Econpapers || Download paper | |
2023 | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula. (2023). Evkaya, Ozan ; Gur, Ismail ; Poyraz, Gulden ; Kulekci, Bukre Yildirim. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:55-81. Full description at Econpapers || Download paper | |
2023 | CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5. Full description at Econpapers || Download paper | |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper | |
2023 | Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*. (2023). Kole, Erik ; van Dijk, Dick ; Barendse, Sander. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:2:p:528-568.. Full description at Econpapers || Download paper | |
2023 | Measurement of risk spillover effect based on EV-Copula method. (2023). Xu, Weiqi ; Zhao, Yuexu. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02287-5. Full description at Econpapers || Download paper | |
2023 | Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Zhou, Biao ; Tang, Decai. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6. Full description at Econpapers || Download paper | |
2023 | Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT). (2023). Navarro, Angeles M ; Lopez-Martin, Carmen ; Benito, Sonia. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00106-w. Full description at Econpapers || Download paper | |
2023 | Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462. Full description at Econpapers || Download paper | |
2023 | Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy. (2023). Pati, Ambika Prasad ; Bhattacharjee, Nandita. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:12:y:2023:i:2:p:186-217. Full description at Econpapers || Download paper | |
2023 | Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8. Full description at Econpapers || Download paper | |
2023 | Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x. Full description at Econpapers || Download paper | |
2023 | Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. (2023). Cheng, Jie. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02360-7. Full description at Econpapers || Download paper | |
2023 | Dynamic spatiotemporal correlation coefficient based on adaptive weight. (2023). Yu, Xuezeng ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00437-3. Full description at Econpapers || Download paper | |
2023 | Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8. Full description at Econpapers || Download paper | |
2023 | Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w. Full description at Econpapers || Download paper | |
2023 | Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions. (2023). Variyam, Ramanathan Thekke ; Jadhav, Deepak K. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00294-1. Full description at Econpapers || Download paper | |
2023 | Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation. (2023). Powdel, Tushar Kanti ; Dutta, Santanu. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-023-00303-x. Full description at Econpapers || Download paper | |
2023 | Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series. (2023). Poorabbas, Solmaz ; Shaker-Akhtekhane, Saeed. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:1:f:13_1_6. Full description at Econpapers || Download paper | |
2023 | Does the tail risk index matter in forecasting downside risk?. (2023). Yang, Jimmy J ; Liu, Hungchun ; Hung, Juicheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3451-3466. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2019 | Policy uncertainty, financial stability, and stress testing In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Policy uncertainty and bank stress testing In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Policy uncertainty and bank stress testing.(2020) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2014 | Can the single point of entry strategy be used to recapitalize a failing bank? In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Testing for systemic risk using stock returns In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 13 |
2016 | Testing for Systemic Risk Using Stock Returns.(2016) In: Journal of Financial Services Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2015 | Portfolio diversification in concentrated bond and loan portfolios In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Capital for concentrated credit portfolios In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Capital for concentrated credit portfolios.(2015) In: AEI Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
2015 | Will TLAC regulations fix the G-SIB too-big-to-fail problem? In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 10 |
2016 | Will TLAC regulations fix the G-SIB too-big-to-fail problem?.(2016) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2015 | Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail? In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Fixing prompt corrective action In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
2018 | Inside the black box: The accuracy of alternative stress test models In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | The leverage ratio is not the problem In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | On the accuracy of alternative approaches for calibrating bank stress test models In: AEI Economics Working Papers. [Full Text][Citation analysis] | paper | 7 |
2018 | On the accuracy of alternative approaches for calibrating bank stress test models.(2018) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
1995 | A SECURITIES TRANSACTIONS TAX AND CAPITAL MARKET EFFICIENCY In: Contemporary Economic Policy. [Full Text][Citation analysis] | article | 8 |
2021 | American Enterprise Institute Roundtable: Government Policies Reshape the Banking System In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 0 |
2023 | Depositor discipline and the banking panic of 2023 In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 0 |
2023 | Depositor discipline and the banking panic of 2023.(2023) In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2024 | Systemic risk and unrealized losses in the banking system In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 0 |
1991 | Animal Spirits, Margin Requirements, and Stock Price Volatility. In: Journal of Finance. [Full Text][Citation analysis] | article | 19 |
1990 | Animal spirits, margin requirements, and stock price volatility.(1990) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
1989 | Animal spirits, margin requirements, and stock price volatility.(1989) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2015 | Can the “Single Point of Entry” strategy be used to recapitalize a systemically important failing bank? In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 3 |
2017 | Does bank supervision impact bank loan growth? In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 18 |
2013 | Bank failures and the cost of systemic risk: Evidence from 1900 to 1930 In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 27 |
2001 | Estimating Credit Risk Capital: Whats the Use? In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 0 |
In: . [Full Text][Citation analysis] | article | 0 | |
1990 | Futures margins and stock price volatility: is there any link? In: Finance and Economics Discussion Series. [Citation analysis] | paper | 3 |
1989 | Futures margins and stock price volatility: is there any link?.(1989) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
1993 | Futures margins and stock price volatility: Is there any link?.(1993) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
1990 | A primer on program trading and stock price volatility: a survey of the issues and the evidence In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
1990 | Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
1991 | Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities.(1991) In: OECD Economics Department Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
1990 | A securities transactions tax: beyond the rhetoric, what can we really say? In: Finance and Economics Discussion Series. [Citation analysis] | paper | 2 |
1991 | Prudential margin policy in a futures-style settlement system In: Finance and Economics Discussion Series. [Citation analysis] | paper | 5 |
1991 | Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform In: Finance and Economics Discussion Series. [Citation analysis] | paper | 12 |
1991 | Noise traders, excess volatility, and securities transaction tax In: Finance and Economics Discussion Series. [Citation analysis] | paper | 5 |
1995 | Noise traders, excess volatility, and a securities transactions tax.(1995) In: Finance and Economics Discussion Series. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
1992 | Dividend-price ratios and expected inflation: is there more to the story than the proxy effect? In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1997 | The pre-commitment approach: using incentives to set market risk capital requirements In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 23 |
1997 | Margin requirements, volatility, and market integrity: what have we learned since the crash? In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 22 |
1998 | Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?.(1998) In: Journal of Financial Services Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
1997 | Deposit insurance, bank incentives, and the design of regulatory policy In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 11 |
1998 | Deposit insurance, bank incentives, and the design of regulatory policy.(1998) In: Economic Policy Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
1992 | On the ramifications of a securities transaction tax for the function and efficiency of capital markets In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1989 | Initial margin requirements and stock returns volatility: another look In: Finance and Economics Discussion Series. [Citation analysis] | paper | 20 |
1989 | A survey of exchange-traded basket instruments In: Finance and Economics Discussion Series. [Citation analysis] | paper | 1 |
1989 | Microeconomic sources of beta risk instability In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1993 | On the efficacy of a portfolio approach to margin setting in a futures- style settlement system In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
1993 | The performance of S&P500 futures product margins under the span margining system In: Finance and Economics Discussion Series. [Citation analysis] | paper | 8 |
1994 | The performance of S&P 500 futures product margins under the SPAN margining system.(1994) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
1995 | The use of bank trading risk models for regulatory capital purposes In: Finance and Economics Discussion Series. [Citation analysis] | paper | 9 |
1995 | Techniques for verifying the accuracy of risk measurement models In: Finance and Economics Discussion Series. [Citation analysis] | paper | 1018 |
1995 | A pre-commitment approach to capital requirements for market risk In: Finance and Economics Discussion Series. [Citation analysis] | paper | 27 |
1995 | A pre-commitment approach to capital requirements for market risk..(1995) In: Proceedings. [Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
1995 | Recent developments in bank capital regulation of market risks In: Finance and Economics Discussion Series. [Citation analysis] | paper | 12 |
1996 | Regulatory competition and the efficiency of alternative derivative product margining systems In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 13 |
1996 | Regulatory competition and the efficiency of alternative derivative product margining systems.(1996) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2001 | The New Basel Capital Accord: The Devil Is in the (Calibration) Details In: IMF Working Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | Calibrating Your Intuition: Capital Allocation for Market and Credit Risk In: IMF Working Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives In: IMF Working Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk In: IMF Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Financial stability and Basel II In: Annals of Finance. [Full Text][Citation analysis] | article | 3 |
2007 | Capital Allocation for Portfolio Credit Risk In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 4 |
2012 | Editors’ Note on the Special Issue of the 10th FDIC/JFSR Bank Research Conference In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 0 |
2004 | Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] | article | 3 |
2005 | Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy In: The Geneva Papers on Risk and Insurance - Issues and Practice. [Full Text][Citation analysis] | article | 2 |
2005 | The IMF–World Bank Financial Sector Assessment Program: A View from the Inside In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team