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

DOI10.1016/J.PHYSA.2019.123474MaRDI QIDQ2137671zbMATH OpenOpenAlexWikidataFDO

Authors Peterson Owusu Junior, Imhotep Paul Alagidede

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

elicitabilityspatial autocorrelationtime-varying riskglobal liquidity indicatorstime-invariant risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• scientific article; zbMATH DE number 3053476 (Why is no real title available?)
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• Coherence and elicitability
• Coherent measures of risk
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Elicitability and backtesting: perspectives for banking regulation
• Higher order elicitability and Osband's principle
• Introduction to spatial econometrics.
• Loss-based risk measures
• Making and evaluating point forecasts
• On Bayesian Modeling of Fat Tails and Skewness
• On the properties of the lambda value at risk: robustness, elicitability and consistency
• Quantitative risk management. Concepts, techniques and tools
• Statistical tests for multiple forecast comparison

Cited in

(1)

• TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL

Describes a project that uses

Uses Software

• RiskMetrics
• GAS
• QRM
• GeoDa
• Arc_Mat

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