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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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The Ebola contagion and forecasting virus : evidence from four African countries
Nadhem, Selmi; Nejib, Hachicha D. - In: Health economics review 5 (2015) 16, pp. 1-15
This paper is focused on examining the number of deaths' increases participation in the propagating the Ebola virus during the period ranging from March to October 2014. An application of the MGARCH-DCC model regressions on four countries has led to discover that the finding that human contact...
Persistent link: https://www.econbiz.de/10011471550
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Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?
Wei, Yu; Wang, Zhuo; Li, Dongxin; Chen, Xiaodan - In: Finance research letters 47 (2022) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10013459840
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Credit Spread Risiken : Messung und Integration in Portfoliomodelle
Thuspaß, Thomas - 2014
Persistent link: https://www.econbiz.de/10013432852
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …
Persistent link: https://www.econbiz.de/10011334332
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Commodity Market Financialization, Herding and Signals : An Asymmetric GARCH R-Vine Copula Approach
Xiao, Qin; Zhang, Dalu; Yan, Meilan - 2022
all commodities. We suggest that these changes were results of herding brought into the market by financial investors who …, financial investors, and regulators. Our study also suggests that NIC is an efficient and effective signal of herding and …
Persistent link: https://www.econbiz.de/10014239526
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Commodity market financialization, herding and signals : an asymmetric GARCH R-vine copula approach
Qin, Xiao; Yan, Meilan; Zhang, Dalu - In: International review of financial analysis 89 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466342
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The beneficial role of green bonds as a new strategic asset class : dynamic dependencies, allocation and diversification before and during the pandemic era
Martiradonna, Monica; Romagnoli, Silvia; Santini, Amia - In: Energy economics 120 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014284561
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Inferring volatility from the yield curve
Brousseau, Vincent; Durré, Alain - In: Journal of mathematical finance 5 (2015) 3, pp. 304-314
Persistent link: https://www.econbiz.de/10011438558