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European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - 2020

Persistent link: https://www.econbiz.de/10012158754

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

Persistent link: https://www.econbiz.de/10014436423

Tail risk transmission : a study of the Iran food industry

Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - In: Risks : open access journal 8 (2020) 3/78, pp. 1-17

This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both...

Persistent link: https://www.econbiz.de/10012293248

Nonparametric estimation of extreme quantiles with an application to longevity risk

Bolancé, Catalina; Guillén, Montserrat - In: Risks : open access journal 9 (2021) 4, pp. 1-23

A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of...

Persistent link: https://www.econbiz.de/10012508762

Information theoretic ranking of extreme value returns

Kayal, Parthajit; Dutta, Sumanjay; Khandelwal, Vipul; … - 2020

Persistent link: https://www.econbiz.de/10013470996