This study examines the dependence structure and estimates the Value at Risk (V a R) and
risk spillover between cryptocurrencies, oil, and Gold market data. In this paper, we estimate …

We statically and dynamically measure total and directional volatility connectedness in
global foreign exchange (forex) markets. We use the volatility spillover index and LASSO …

This research first adopts three indicators to measure the systemic risk of different financial
industries in China. Second, we employ the Time Varying Parameter-Stochastic Volatility …

This study investigates the directional predictability of exchange rates in emerging markets.
Using a cross-quantilogram model, we show that dependencies among emerging markets …

This paper proposes a new strategy for portfolio selection in the Brazilian equity market with
the use of multifractal detrended fluctuation analysis (MF-DFA) as a mechanism to select …

Purpose This paper investigates the dependence structure and market risk of the currency
exchange rate portfolio from the Malaysian ringgit perspective. Design/methodology …

Résumé Les effets de la crise russo‐ukrainienne sur le capital‐risque marché au sens de
Bâle II/III, sont quantifiés pour près de 87% de la capitalisation boursière du continent. Notre …

This paper proposes a new investment strategy in the cryptocurrency market based on a two-
step procedure. The first step is the computation of the asset's levels of efficiency in an …

In financial research and among risk management practitioners the estimation of a correct
measure of the Value-at-Risk still proves interesting. A current approach, the multivariate …

Investment as an important issue in daily life is accompanied by the occurrence of various
financial assets, such as stocks, bonds, and mutual funds. However, risk tolerances vary …