Climate change affects price fluctuations in the carbon, energy and metals markets through
physical and transition risks. Climate physical risk is mainly caused by extreme weather …

This study analyses the spillover in higher-order moments covering volatility, skewness, and
kurtosis in the space of green energy, brown energy, and technology stocks in the US from …

This study investigates the risk and returns on one of the newest digital asset classes
instruments, non-fungible tokens (NFTs), by accounting for tail dependence of higher-order …

This study utilizes intraday price data of Bitcoin, Ethereum, and Ripple to investigate how
sensitive cryptocurrency returns are to higher-order realized moments (ie, variance …

This study analyses the relationship between equites and foreign exchange markets by
employing a conditional value at risk (CoVaR) framework for developed and developing …

We examine the effect of realized skewness on Chinese stock returns. We construct realized
skewness by using intraday data at a monthly horizon. Our study finds a significant negative …

We estimate the contribution of large US banks to the financial sector systemic risk by using
value-at-risk (V a R), conditional value-at-risk (C o V a R), and two-stage least square …

Motivated by the occurrence of extreme events and nonnormality of returns, we examine the
spillovers among the conditional volatility, skewness and (excess) kurtosis of European …

The aim of the article is to present LIGHT Benchmark-a real world, multidimensional,
comprehensive, and agnostic backtesting framework for market risk models comparison …