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Extreme financial risks : from dependence to risk management

Malevergne, Yannick; Sornette, Didier - 2006

Persistent link: https://www.econbiz.de/10003042066

Decoding stock market with quant alphas

Kakushadze, Zura; Yu, Willie - In: The journal of asset management 19 (2018) 1, pp. 38-48

Persistent link: https://www.econbiz.de/10011847616

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

Are value at risk and maximum drawdown different from volatility in stock market?

Kim, Soo-Hyun - In: The journal of applied business research 34 (2018) 2, pp. 217-222

Persistent link: https://www.econbiz.de/10011868772

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