Similar Search Results

Risk measures and the impact of asset price bubbles

Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56

Persistent link: https://www.econbiz.de/10011298886

Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market

Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

Persistent link: https://www.econbiz.de/10011901688

Asymptotic dependence modelling of the BRICS stock markets

Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...

Persistent link: https://www.econbiz.de/10013368365

Zeitreihenmodelle zur Schätzung des Value at Risk von Aktien : Beurteilung im Hinblick auf die bankenaufsichtsrechtlichen Bestimmungen

Neumann, Kristin - 2000

Persistent link: https://www.econbiz.de/10001441505

Predicting stock returns : a risk measurement perspective

Dai, Zhifeng; Kang, Jie; Wen, Fenghua - In: International review of financial analysis 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803806

Price index modeling and risk prediction of sharia stocks in Indonesia

Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

Persistent link: https://www.econbiz.de/10012800645