Similar Search Results

Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution

Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal … distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and … correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index …

Persistent link: https://www.econbiz.de/10011856960

The relationship between carry trade and asset markets in South Africa

Bonga-Bonga, Lumengo; Maake, Tebogo - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13

This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets … dynamic correlation between each currency carry trade and asset markets to infer the time-varying dependence between the two … markets. The results of the empirical analysis show evidence of volatility spillover between the carry trade returns and the …

Persistent link: https://www.econbiz.de/10012622503

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

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 … the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification …This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on …

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

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

Persistent link: https://www.econbiz.de/10012172988

Optimizing portfolio risk of cryptocurrencies using data-driven risk measures

Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16

recently proposed data-driven volatility forecasting approach with daily data are used to study risk forecasting for …

Persistent link: https://www.econbiz.de/10013471488

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Persistent link: https://www.econbiz.de/10014305816

Modeling and forecasting realized portfolio diversification benefits

Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen - In: Journal of risk and financial management : JRFM 12 (2019) 3/116, pp. 1-16

-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the …

Persistent link: https://www.econbiz.de/10012027057

Dependency relations among international stock market indices

Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265

We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …

Persistent link: https://www.econbiz.de/10011545240

1
2
3
4
5
6
7
8
9
10
Next
Last