Research outputs

Our people

Filter research outputs

What type of research output do you want to show?

All

Journal

Preprint

2023

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

Barunik, 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). doi:10.1016/j.ecosys.2020.100820

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