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Risk-averse and risk-seeking investor preferences for oil spot and futurues

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10010198257

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

Persistent link: https://www.econbiz.de/10011906234

Risk spillovers in oil-related CDS, stock and credit markets

Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy economics 36 (2013), pp. 526-535

Persistent link: https://www.econbiz.de/10009724647

Theory and application of an economic performance measure of risk

Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - In: International review of economics & finance : IREF 56 (2018), pp. 383-396

Persistent link: https://www.econbiz.de/10012033712

Theory and application of an economic performance measure of risk

Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017

Persistent link: https://www.econbiz.de/10011668139

Theory and application of an economic performance measure of risk

Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017

Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence...

Persistent link: https://www.econbiz.de/10011688326