Similar Search Results

Identification of Sources of the Systematic Risk on the Polish Capital Market

Zamojska, Anna - 2013

Arbitrage pricing model (APT) is one of the models that describe risk of investment on the capital market. The model … sources of the systematic risk of investment and which influence the behaviour of the rates of returns of funds portfolios …

Persistent link: https://www.econbiz.de/10013083248

Are Oil and Gas Stocks from the Australian Market Riskier than Coal and Uranium Stocks? Dependence Risk Analysis and Portfolio Optimization

Arreola Hernández, José - 2016

This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil … five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium … stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the …

Persistent link: https://www.econbiz.de/10012990828

Controlling financial risk

In: Managing business risk, (pp. 135-139). 2003

Persistent link: https://www.econbiz.de/10002856796

Financial risk and financialization

Szopa, Andrzej - In: Financialization and the economy, (pp. 125-134). 2017

Persistent link: https://www.econbiz.de/10011686627

How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model

Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364

Persistent link: https://www.econbiz.de/10014475372

Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis

Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013187623

Asymmetry and determinants of financial connectivity in G20 : evidence from a quantile-based and lasso regression analysis

Yang, Guangyi; Li, Yong; Liu, Xiaoxing - 2025

Persistent link: https://www.econbiz.de/10015374383

Implied Volatility Measures As Indicators of Future Market Returns

Bandelli, Roberto - 2019

We analyze the relationship between implied volatility and subsequent equity markets excess returns. We find that high readings of implied volatility have a strong correlation with positive and economically sizable returns in the subsequent 1, 5, and 20 trading days. Mid-level readings are...

Persistent link: https://www.econbiz.de/10012899390

Improved calendar time approach for measuring long-run anomalies

Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-14

Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time...

Persistent link: https://www.econbiz.de/10011449859

Allowing for Jump Measurements in Volatility : A High-Frequency Financial Data Analysis of Individual Stocks

Papavassiliou, Vassilios G. - 2016

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...

Persistent link: https://www.econbiz.de/10013004411