This study provides evidence on the frequency-based dependency networks of various
financial assets in the tails of return distributions given the extreme price movements under …

In this paper, we introduce quantile coherency to measure general dependence structures
emerging in the joint distribution in the frequency domain and argue that this type of …

This paper investigates the role of cash holdings in controlling the negative risk from oil price
uncertainty. We develop a dynamic model and find that firms with oil-linked assets in place …

We introduce a novel regression framework which simultaneously models the quantile and
the Expected Shortfall (ES) of a response variable given a set of covariates. This regression …

This paper comprehensively examines the existence and significance of a
contemporaneous/intertemporal risk-return trade-off for crude oil futures using high …

We assess the Value-at-Risk (VaR) forecasting performance of recently proposed realized
volatility (RV) models combined with alternative parametric and semi-parametric quantile …

To date, an operational measure of systemic risk capturing nonlinear tail-comovements
between system-wide and individual bank returns has not yet been developed. This paper …

A new framework for the joint estimation and forecasting of dynamic value at risk (VaR) and
expected shortfall (ES) is proposed by our incorporating intraday information into a …

This paper extends the joint Value-at-Risk (VaR) and expected shortfall (ES) quantile
regression model of Taylor (2019), by incorporating a realized measure to drive the tail risk …

We investigate how to measure common risks in the tails of return distributions using the
recently proposed panel quantile regression model for financial returns. By exploring how …