Spillover effects between commodity and stock markets: A SDSES approach
L Garcia-Jorcano, L Sanchis-Marco - Resources Policy, 2022 - Elsevier
In this paper, we use a state-dependent sensitivity expected shortfall (SDSES) approach
using expectiles. This model enables us to quantify the direction, size, and persistence of …
using expectiles. This model enables us to quantify the direction, size, and persistence of …
Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
N Radivojevic, B Bojic, M Lakicevic - Journal of Operational Risk …, 2019 - papers.ssrn.com
We investigate the applicability of semi-parametric approaches for estimating expected
shortfall. More precisely, we examine the applicability of several models based on the …
shortfall. More precisely, we examine the applicability of several models based on the …
[引用][C] Spillover effects between commodity and stock markets: A state-dependent sensitivity expected shortfall (SDSES) approach
L Garcia-Jorcano, L Sanchis-Marco - 2020