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Risk-adjusted capital allocation and misallocation

David, Joel M.; Schmid, Lukas; Zeke, David - In: Journal of financial economics 145 (2022) 3, pp. 684-705

Persistent link: https://www.econbiz.de/10013475433

Time-varying risk of nominal bonds : how important are macroeconomic shocks?

Ermolov, Andrey - In: Journal of financial economics 145 (2022) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10013473700

Are banks still a risk source for stock market? : Some empirical evidences

Anelli, Michele; Patanè, Michele; Zedda, Stefano - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-13

The global financial crisis of 2008 proved that what initially appeared to be relatively small losses in the financial system can be magnified to systemic ones. The European Union debt crisis has thus revived interest in the interdependence across different markets, especially sovereign debt...

Persistent link: https://www.econbiz.de/10013370490

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Multi-factorized semi-covariance of stock markets and gold price

Shi, Yun; Yang, Lin; Huang, Mei; Huang, Jun Steed - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-11

Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in traditional integer dimension construction for...

Persistent link: https://www.econbiz.de/10012520959

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26

dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be … the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification …

Persistent link: https://www.econbiz.de/10012172980

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

Persistent link: https://www.econbiz.de/10012813273

Style investing, comovement and return predictability

Wahal, Sunil; Yavuz, Deniz M. - In: Journal of financial economics 107 (2013) 1, pp. 126-154

Persistent link: https://www.econbiz.de/10009715836

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

Technological innovations and aggregate risk premiums

Hsu, Po-hsuan - In: Journal of financial economics 94 (2009) 2, pp. 264-279

Persistent link: https://www.econbiz.de/10003906350

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