Multi-scale dependence and risk contagion among international financial markets based on VMD-Vine copula-CoVaR
J Wang, X Yan, Y Cao, X Wang - Applied Economics, 2024 - Taylor & Francis
Considering the frequency domain and nonlinear characteristics of financial risks, we
propose a VMD-Vine copula-CoVaR framework to study the dependence structures and risk …
propose a VMD-Vine copula-CoVaR framework to study the dependence structures and risk …
Four-Moment Value-at-Risk Bounds for Market Risk Regulation
We derive upper bounds for Value-at-Risk (VaR) based on Bhattacharyya's and Cramer-
Rohatgi-Saleh inequalities. These VaR upper bounds for losses are analogous to those …
Rohatgi-Saleh inequalities. These VaR upper bounds for losses are analogous to those …