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Time-varying mixture GARCH models and asymmetric volatility

Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623

Persistent link: https://www.econbiz.de/10010370491

GARCH models, tail indexes and error distributions : an empirical investigation

Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011672845

Price index modeling and risk prediction of sharia stocks in Indonesia

Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13

This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August...

Persistent link: https://www.econbiz.de/10012800645

Oil stocks, risk factors, and tail behavior

Lian, Ziying; Cai, Jun; Webb, Robert I. - In: Energy economics 91 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012518738

Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

Persistent link: https://www.econbiz.de/10012117855

Risk spillovers between oil and stock markets : a VAR for VaR analysis

Wen, Danyan; Wang, Gang-Jin; Ma, Chaoqun; Wang, Yudong - In: Energy economics 80 (2019), pp. 524-535

Persistent link: https://www.econbiz.de/10012173682

Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014225819

Risk dependence and cointegration between pharmaceutical stock markets : the case of China and the USA

Zhou, Xinmiao; Qian, Huanhuan; Pérez Rodríguez, Jorge V. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012654918

Is there dependence and systemic risk between oil and renewable energy stock prices?

Reboredo, Juan Carlos - In: Energy economics 48 (2015), pp. 32-45

Persistent link: https://www.econbiz.de/10011533695

Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

Bianconi, Marcelo; Yoshino, Joe Akira - In: Energy economics 45 (2014), pp. 19-32

Persistent link: https://www.econbiz.de/10010504798