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2023

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

Baruník, J., & Nevrla, M. (2023). Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices. Journal of Financial Econometrics, 21(5), 1590-1646. doi:10.1093/jjfinec/nbac017

DOI: 10.1093/jjfinec/nbac017
: Journal article

2022

Common Idiosyncratic Quantile Risk

: Preprint

2020

Systemic risk in European financial and energy sectors: Dynamic factor copula approach

Nevrla, M. (2020). Systemic risk in European financial and energy sectors: Dynamic factor copula approach. Economic Systems, 44(4), 100820. doi:10.1016/j.ecosys.2020.100820

DOI: 10.1016/j.ecosys.2020.100820
: Journal article