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

DOI10.1016/J.PHYSA.2019.123474OpenAlexW2986149885WikidataQ126801347 ScholiaQ126801347MaRDI QIDQ2137671FDOQ2137671

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

elicitabilityspatial autocorrelationtime-varying riskglobal liquidity indicatorstime-invariant risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Introduction to spatial econometrics.
• Elicitability and backtesting: perspectives for banking regulation
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Coherent measures of risk
• Higher order elicitability and Osband's principle
• On Bayesian Modeling of Fat Tails and Skewness
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Making and Evaluating Point Forecasts
• Statistical tests for multiple forecast comparison
• Coherence and elicitability
• Title not available (Why is that?)
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• Loss-based risk measures
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Title not available (Why is that?)
• On the properties of the Lambda value at risk: robustness, elicitability and consistency

Cited In (1)

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

Uses Software

• Arc_Mat
• GeoDa
• QRM
• GAS
• RiskMetrics

This page was built for publication: Risks in emerging markets equities: time-varying versus spatial risk analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2137671)