Joondalup 6027, WA
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Edith Cowan University - School of Accounting, Finance and Economics
in Total Papers Downloads
in Total Papers Citations
Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence
credit risk, conditional value at risk, conditional probability of default, historical simulation, Monte Carlo simulation
S&P 500, VIX, Entropy, Non-Parametric Estimation, Quantile Regressions
Value at Risk, Conditional Value at Risk, Distance to Default; Probability of Default, Conditional Distance to Default, Conditional Probability of Default
Value at Risk, Distance to Default, Probability of Default, Monte Carlo, Quantile Regression
Nonparametric Analysis, Multiple Change Points, Cluster Analysis, Global Financial Crisis
Volatility Spillover Index, VAR analysis, Variance Decomposition, Cholesky-GARCH
Emerging Markets, EU, Portfolio Diversification, Investment Returns
Financial Dependence, Vine Copula, Asian Financial Crisis, Global Financial Crisis
Intraday returns, VaR, Expected Shortfall, GARCH, realized variance
Bank Risk, Value at Risk, Conditional Value at Risk, Probability of Default, Conditional Probability of Default
Probability of Default, Quantile Regression, Australian Banks, United States Banks
at Risk, Conditional Value at Risk, Industry Sectors
CVaR, Mining Industry, Optimisation
intraday returns, volatility, value at risk, ARCH, realized variance
Quantile Regression, Emerging and speculative companies, extreme risk and return
Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory
Value at Risk, Distance to Default, Banks, Contagion
Tail risk, emerging Australian companies, extreme risk
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Banks, credit risk, default, financial crisis
Factor models, OLS, quantile regression
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