- Alexander, C., 2009. Market Risk Analysis, Value at Risk Models. The Wiley Finance Series, Wiley. URL: https://books.google.fr/books? id=j5l82vMfcbQC.
Paper not yet in RePEc: Add citation now
Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Mathematical Finance 9, 203–228.
Baer, K., De Mooij, R., Hebous, S., Keen, M., 2023. Taxing cryptocurrencies. Oxford Review of Economic Policy 39, 478–497.
Bellini, F., Bignozzi, V., 2015. On elicitable risk measures. Quantitative Finance 15, 725–733.
Bhanja, N., Shah, A.A., Dar, A.B., 2023. Aggregate, asymmetric and frequency-based spillover among equity, precious metals, and cryptocurrency. Resources Policy 80, 103145.
Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307–327.
Chebbi, A., Hedhli, A., 2022. Revisiting the accuracy of standard var methods for risk assessment: using the copula–evt multidimensional approach for stock markets in the mena region. The Quarterly Review of Economics and Finance 84, 430–445.
- Committee, B., et al., 2013. Fundamental review of the trading book: A revised market risk framework. Consultative Document, October .
Paper not yet in RePEc: Add citation now
Cont, R., Deguest, R., Scandolo, G., 2010. Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance 10, 593–606.
- Delbaen, F., 2002. Coherent risk measures on general probability spaces. Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann , 1–37.
Paper not yet in RePEc: Add citation now
Diebold, F.X., Yilmaz, K., 2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting 28, 57–66.
Ferko, A., Moin, A., Onur, E., Penick, M., 2023. Who trades bitcoin futures and why? Global Finance Journal 55, 100778.
- Fissler, T., Ziegel, J.F., 2021. On the elicitability of range value at risk. Statistics & Risk Modeling 38, 25–46.
Paper not yet in RePEc: Add citation now
- Frittelli, M., Gianin, E.R., 2004. Dynamic convex risk measures. Risk Measures for the 21st Century , 227–248.
Paper not yet in RePEc: Add citation now
Gerlach, R., Walpole, D., Wang, C., 2017. Semi-parametric bayesian tail risk forecasting incorporating realized measures of volatility. Quantitative Finance 17, 199–215.
- Ghanbari, M., Arabi, M., Obeysekera, J., Sweet, W., 2019. A coherent statistical model for coastal flood frequency analysis under nonstationary sea level conditions. Earth’s Future 7, 162–177.
Paper not yet in RePEc: Add citation now
- Ghosh, B., Bouri, E., Wee, J.B., Zulfiqar, N., 2023. Return and volatility properties: Stylized facts from the universe of cryptocurrencies and nfts. Research in International Business and Finance 65, 101945.
Paper not yet in RePEc: Add citation now
Gil-Alana, L.A., Abakah, E.J.A., Rojo, M.F.R., 2020. Cryptocurrencies and stock market indices. are they related? Research in International Business and Finance 51, 101063.
Gkillas, K., Tsagkanos, A., Vortelinos, D.I., 2019. Integration and risk contagion in financial crises: Evidence from international stock markets. Journal of Business Research 104, 350–365.
Gneiting, T., 2011. Making and evaluating point forecasts. Journal of the American Statistical Association 106, 746–762.
Hanif, W., Mensi, W., Vo, X.V., BenSaïda, A., Hernandez, J.A., Kang, S.H., 2023a. Dependence and risk management of portfolios of metals and agricultural commodity futures. Resources Policy 82, 103567.
Hanif, W., Teplova, T., Rodina, V., Alomari, M., Mensi, W., 2023b. Volatility spillovers and frequency dependence between oil price shocks and green stock markets. Resources Policy 85, 103860.
- He, X.D., Kou, S., Peng, X., 2022. Risk measures: robustness, elicitability, and backtesting. Annual Review of Statistics and its Application 9, 141–166.
Paper not yet in RePEc: Add citation now
Huang, L., 2024. The relationship between cryptocurrencies and convention financial market: Dynamic causality test and time-varying influence. International Review of Economics & Finance 91, 811–826.
- Hussain, S., Ruza, N., Masseran, N., Safari, M., 2020. Dependence structure between index stock market and bitcoin using time-varying copula and extreme value theory, in: AIP Conference Proceedings, AIP Publishing.
Paper not yet in RePEc: Add citation now
Jeribi, A., Fakhfekh, M., 2021. Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from fiegarch-evt-copula. Journal of Asset Management 22, 224–239.
Jiang, Y., Lie, J., Wang, J., Mu, J., 2021. Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective. Economic Modelling 95, 21–34.
Karimi, P., Ghazani, M.M., Ebrahimi, S.B., 2023. Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under covid-19 pandemic: Evidence from gjr-garch and evt copula methods. Resources Policy 85, 103887.
Karmakar, M., Paul, S., 2019. Intraday portfolio risk management using var and cvar: A cgarch-evt-copula approach. International Journal of Forecasting 35, 699–709.
Kellner, R., Rösch, D., 2016. Quantifying market risk with value-at-risk or expected shortfall?–consequences for capital requirements and model risk. Journal of Economic Dynamics and Control 68, 45–63.
Kou, S., Peng, X., Heyde, C.C., 2013. External risk measures and basel accords. Mathematics of Operations Research 38, 393–417.
- Krock, M., Bessac, J., Stein, M.L., Monahan, A.H., 2022. Nonstationary seasonal model for daily mean temperature distribution bridging bulk and tails. Weather and Climate Extremes 36, 100438.
Paper not yet in RePEc: Add citation now
Kyriazis, N., Papadamou, S., Tzeremes, P., Corbet, S., 2023. Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors? Research in International Business and Finance 64, 101832.
Kyriazis, N., Papadamou, S., Tzeremes, P., Corbet, S., 2024. Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a quantile-var analysis. Journal of Commodity Markets , 100385.
Lazar, E., Pan, J., Wang, S., 2024. On the estimation of value-at-risk and expected shortfall at extreme levels. Journal of Commodity Markets , 100391.
Liu, J., Wang, S., Xiang, L., Ma, S., Xiao, Z., 2024. Unveiling hidden connections: Spillover among brics’cryptocurrency-implied exchange rate discounts and us financial markets. The North American Journal of Economics and Finance 71, 102090.
MacDonald, A., Scarrott, C.J., Lee, D., Darlow, B., Reale, M., Russell, G., 2011. A flexible extreme value mixture model. Computational Statistics & Data Analysis 55, 2137–2157.
- Markovitz, H., 1959. Portfolio selection: Efficient diversification of investments. NY: John Wiley .
Paper not yet in RePEc: Add citation now
Mensi, W., El Khoury, R., Ali, S.R.M., Vo, X.V., Kang, S.H., 2023. Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the covid-19 crisis. Research in International Business and Finance 65, 101929.
Mizerka, J., Stróżyńska-Szajek, A., Mizerka, P., 2020. The role of bitcoin on developed and emerging markets–on the basis of a bitcoin users graph analysis. Finance Research Letters 35, 101489.
Müller, F.M., Santos, S.S., Gössling, T.W., Righi, M.B., 2022. Comparison of risk forecasts for cryptocurrencies: A focus on range value at risk. Finance Research Letters 48, 102916.
Nelson, D.B., 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society , 347–370.
- Nguyen, A.P.N., Mai, T.T., Bezbradica, M., Crane, M., 2023. Volatility and returns connectedness in cryptocurrency markets: Insights from graphbased methods. Physica A: Statistical Mechanics and its Applications 632, 129349.
Paper not yet in RePEc: Add citation now
- Parfenov, D., 2022. Efficiency linkages between cryptocurrencies, equities and commodities at different time frames. Procedia Computer Science 199, 182–189.
Paper not yet in RePEc: Add citation now
Patterson, K., Heravi, S., 2003. The impact of fat-tailed distributions on some leading unit roots tests. Journal of Applied Statistics 30, 635–667.
Rao, A., Gupta, M., Sharma, G.D., Mahendru, M., Agrawal, A., 2022. Revisiting the financial market interdependence during covid-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets. International Journal of Managerial Finance 18, 725–755.
- Rehman et al.: Preprint submitted to Elsevier Page 27 of Analyzing selected cryptocurrencies spillover effects on global financial indices Biswas, S., Sen, R., 2023. Nonparametric estimation of range value at risk. Computation 11, 28.
Paper not yet in RePEc: Add citation now
- Rehman et al.: Preprint submitted to Elsevier Page 28 of Analyzing selected cryptocurrencies spillover effects on global financial indices Müller, F.M., Gössling, T.W., Solgon Santos, S.S., Righi, M., 2023. A comparison of range value at risk (rvar) forecasting models. Available at SSRN 4648630 .
Paper not yet in RePEc: Add citation now
Riahi, R., Bennajma, A., Jahmane, A., Hammami, H., 2024. Investing in cryptocurrency before and during the covid-19 crisis: Hedge, diversifier or safe haven? Research in International Business and Finance 67, 102102.
- Sklar, M., 1959. Fonctions de répartition à n dimensions et leurs marges, in: Annales de l’ISUP, pp. 229–231.
Paper not yet in RePEc: Add citation now
Stein, M.L., 2021. A parametric model for distributions with flexible behavior in both tails. Environmetrics 32, e2658.
Ugolini, A., Reboredo, J.C., Mensi, W., 2023. Connectedness between defi, cryptocurrency, stock, and safe-haven assets. Finance Research Letters 53, 103692.
- Uzonwanne, G., 2021. Volatility and return spillovers between stock markets and cryptocurrencies. The Quarterly Review of Economics and Finance 82, 30–36.
Paper not yet in RePEc: Add citation now
- Vos, P., Wu, Q., 2018. Chapter 5 - probability essentials, in: Gudivada, V.N., Rao, C. (Eds.), Computational Analysis and Understanding of Natural Languages: Principles, Methods and Applications. Elsevier. volume 38 of Handbook of Statistics, pp. 75–109. URL: https://www.
Paper not yet in RePEc: Add citation now
Wang, R., Wei, Y., 2020. Risk functionals with convex level sets. Mathematical Finance 30, 1337–1367.
Yaya, O.S., Lukman, A.F., Vo, X.V., 2022. Persistence and volatility spillovers of bitcoin price to gold and silver prices. Resources Policy 79, 103011.
- Zhao, J., Cui, L., Liu, W., Zhang, Q., 2023. Extreme risk spillover effects of international oil prices on the chinese stock market: A garch-evt-copulacovar approach. Resources Policy 86, 104142. Rehman et al.: Preprint submitted to Elsevier Page 29 of
Paper not yet in RePEc: Add citation now