Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19
pandemic triggered an urgent need for a study summarising the existing knowledge of …

As one of the world's largest oil importer, China's economy is significantly influenced by oil
price fluctuations. This study investigates the risk spillover effect of international oil price on …

In 2021, when the Covid-19 pandemic had a severe impact on the economy, a significant
number of enterprises in Vietnam temporarily suspended doing business. Previous studies …

Purpose The purpose of this study was to investigate on managing market risk and financial
performance, experience from microfinance institutions (MFIs) in Kenya …

The stock market is heavily influenced by global sentiment, which is full of uncertainty and is
characterized by extreme values and linear and nonlinear variables. High-frequency data …

Generalized linear models are common instruments for the pricing of non-life insurance
contracts. They are used to estimate the expected frequency and severity of insurance …

To investigate the risk spillover effect from crude oil market to BRICS stock markets, we
extend the Copula-CoVaR models by introducing the Peak-over-Threshold and construct …

The recent global pandemic of coronavirus (COVID-19) has had an enormous impact on the
financial markets across the world. It has created an unprecedented level of risk uncertainty …

This paper constructs a regime switching model for the univariate Value-at-Risk estimation.
Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a …

Abstract The European Union carbon market is undergoing rapid development and its
interdependence with fossil fuel markets is increasingly important for energy investors. In …