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On combining evidence from heteroskedasticity robust panel unit root tests in pooled regressions

Arnold, Martin C.; Hanck, Christoph - In: Journal of risk and financial management : JRFM 12 (2019) 3/117, pp. 1-22

Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational …

Persistent link: https://www.econbiz.de/10012027060

Portfolio volatility estimation relative to stock market cross-sectional intrinsic entropy

Vint̜e, Claudiu; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-24

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that … can be considered together as portfolio constituents. The CSIE market volatility estimate is based on daily traded prices …

Persistent link: https://www.econbiz.de/10014305795

Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality...

Persistent link: https://www.econbiz.de/10012403992

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for …

Persistent link: https://www.econbiz.de/10012022130

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Persistent link: https://www.econbiz.de/10012628441

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

On setting day-ahead equity trading risk limits

Fuertes, Ana María; Olmo, Jose - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-20

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...

Persistent link: https://www.econbiz.de/10011543115

Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds

Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20

macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise … results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps …. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The …

Persistent link: https://www.econbiz.de/10012305143

The impact of algorithmic trading in a simulated asset market

Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11

In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...

Persistent link: https://www.econbiz.de/10012022150

Bitcoin price risk - a durations perspective

Dimpfl, Thomas; Odelli, Stefania - In: Journal of risk and financial management : JRFM 13 (2020) 7/157, pp. 1-18

Persistent link: https://www.econbiz.de/10012309358