Similar Search Results

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … measure for risk. The sensitivity of MaxVaR with respect to option characteristics like moneyness, time to maturity and risk … higher for stocks than the options and we can surmise that stock returns are more volatile than options. For robustness, the …

Persistent link: https://www.econbiz.de/10012293244

The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns

Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11

find that the relationship is robust to skewness for the "before the pandemic" and "after pandemic" periods. On the …

Persistent link: https://www.econbiz.de/10013161497

The effect of jumps in the crude oil market on the sovereign risks of major oil exporters

Bouri, Elie - In: Risks : open access journal 7 (2019) 4/118, pp. 1-15

We study the jump behaviour in the sovereign risks of major oil-exporting countries and examine whether it is affected by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect the presence of jumps in many oil exporters and find...

Persistent link: https://www.econbiz.de/10012127756

Technical analysis on the Bitcoin market : trading opportunities or investors' pitfall?

Resta, Marina; Pagnottoni, Paolo; De Giuli, Maria Elena - In: Risks : open access journal 8 (2020) 2/44, pp. 1-15

In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on a daily basis, during the period 1 January...

Persistent link: https://www.econbiz.de/10012292821

Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10012292914

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

Empirical evidences on the interconnectedness between sampling and asset returns' distributions

Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

Persistent link: https://www.econbiz.de/10012596311

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381

Model-free stochastic collocation for an arbitrage-free implied volatility, part II

Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: Risks : open access journal 7 (2019) 1/30, pp. 1-21

proper initial guess. The technique is then applied to concrete market options and the stability of the different approaches …

Persistent link: https://www.econbiz.de/10012015886