Risks in emerging markets equities: time-varying versus spatial risk analysis

DOI10.1016/j.physa.2019.123474OpenAlexW2986149885WikidataQ126801347 ScholiaQ126801347MaRDI QIDQ2137671

Imhotep Paul Alagidede, Peterson Owusu Junior

Publication date: 16 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123474

zbMATH Keywords

spatial autocorrelationelicitabilitytime-varying riskglobal liquidity indicatorstime-invariant risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• Arc_Mat
• GeoDa
• QRM
• GAS
• RiskMetrics

Cites Work

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• Loss-based risk measures
• Dynamic Models for Volatility and Heavy Tails
• On Bayesian Modeling of Fat Tails and Skewness
• On the properties of the Lambda value at risk: robustness, elicitability and consistency
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

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