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Tail risk in energy portfolios
16 references·3 citing·38 second hop
Tail risk in energy portfolios (2014)Tail risk in energy portfoliosSTochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Regime jumps in electricity prices (2003)Regime jumps in electricity p…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent risk measures (2000)Coherent risk measuresThe Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective (2023)Research on tail risk contagi…Time-varying energy and stock market integration in Asia (2019)Time-varying energy and stock…Can stock market investors hedge energy risk? Evidence from Asia (2017)Can stock market investors he…An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Testing the equality of prediction mean squared errors (1997)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Portfolio Selection (1952)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Volatility forecast comparison using imperfect volatility proxies (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality473 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 2003Regime jumps in electricity prices363 cited
  • 2000Coherent risk measures308 cited

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  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • Cited by

    • 2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective86 cited
    • 2017Can stock market investors hedge energy risk? Evidence from Asia81 cited
    • 2019Time-varying energy and stock market integration in Asia76 cited