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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

Effects of the 2008 financial crisis and COVID-19 pandemic on the dynamic relationship between the Chinese and international fossil fuel markets

Tang, Chaofeng; Aruga, Kentaka - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-11

This study examines whether the dynamic relationship between the Chinese and international fossil markets changed during the 2008 financial crisis and is changing during the COVID-19 pandemic. The impact of the crises are analyzed by including the periods affected by the crises as dummy...

Persistent link: https://www.econbiz.de/10012534536

Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?

Zarafat, Hashem; Liebhardt, Sascha; Eratalay, Mustafa Hakan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-32

It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and solvency ratios of the constituent...

Persistent link: https://www.econbiz.de/10013371062

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Modelling the effects of oil prices on global fertilizer prices and volatility

Chen, Ping-yu; Chang, Chia-ling; Chen, Chi-chung; … - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 78-114

, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global …

Persistent link: https://www.econbiz.de/10011555888

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

Performance analysis of gold- and fiat-backed cryptocurrencies : risk-based choice for a portfolio

Irfan, Muhammad; Rehman, Mubeen Abdur; Nawazish, Sarah; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-15

fluctuation during the sample period. ARIMA-EGARCH models have been employed to examine the volatile behavior of these …

Persistent link: https://www.econbiz.de/10014305920

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

(EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on … 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage … that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative …

Persistent link: https://www.econbiz.de/10012622818

Recovering historical inflation data from postage stamps prices

Franses, Philip Hans; Janssens, Eva - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-11

last no longer than 2 or 3 years. An Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model …

Persistent link: https://www.econbiz.de/10011854870

Is bitcoin a safe haven for Indian investors? : a GARCH volatility analysis

Murty, Sarika; Victor, Vijay; Fekete-Farkas, Maria - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-13

the returns of Bitcoin. An asymmetric GARCH model (EGARCH) is used to investigate whether Bitcoin may be useful in risk …

Persistent link: https://www.econbiz.de/10013370988