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When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

Persistent link: https://www.econbiz.de/10011866456

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

Persistent link: https://www.econbiz.de/10014436423

Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Persistent link: https://www.econbiz.de/10014500847

Determinants of the ZAR/USD exchange rate and policy implications : a simultaneous-equation model

Hsing, Yu - In: Cogent economics & finance 4 (2016) 1, pp. 1-7

supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the …

Persistent link: https://www.econbiz.de/10011450559

Investigating the sources of Black's leverage effect in oil and gas stocks

Sanusi, Muhammad Surajo - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility in the future. The paper is aimed at...

Persistent link: https://www.econbiz.de/10011878421

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934

Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …

Persistent link: https://www.econbiz.de/10011597965

Asymmetric return and volatility transmission in conventional and Islamic equities

Umar, Zaghum; Suleman, Tahir - In: Risks : open access journal 5 (2017) 2, pp. 1-18

This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion...

Persistent link: https://www.econbiz.de/10011643393

European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - 2020

Persistent link: https://www.econbiz.de/10012158754