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Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts

Siliverstovs, Boriss - 2019

Persistent link: https://www.econbiz.de/10011990793

Asymmetric return and volatility transmission in conventional and Islamic equities

Umar, Zaghum; Suleman, Tahir - In: Risks : open access journal 5 (2017) 2, pp. 1-18

This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion...

Persistent link: https://www.econbiz.de/10011643393

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

Measurement of systemic risk in the Colombian banking sector

Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-27

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....

Persistent link: https://www.econbiz.de/10012805886

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

A simulation study for monotonic dependence in the presence of outliers

Manzi, Giancarlo; Alsayed, Ahmed - 2019

Persistent link: https://www.econbiz.de/10012027165

A note on upper tail behavior of Liouville copulas

Hua, Lei - In: Risks : open access journal 4 (2016) 4, pp. 1-10

The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in...

Persistent link: https://www.econbiz.de/10011556499

Bayesian extreme value mixture modelling for estimating VaR

Zhao, Xin; Scarrott, Carl John; Reale, Marco; Oxley, Les - 2009

Persistent link: https://www.econbiz.de/10008669712

Risk modeling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009771092