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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed - In: Journal of international financial markets, … 46 (2017), pp. 30-53
Persistent link: https://www.econbiz.de/10011745291
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Does market risk predict credit risk? : an analysis of firm risk sensitivity, evidence from South Korea
Lim, Hyoungjoo; Mali, Dafydd - In: Asia-Pacific journal of accounting & economics : APJAE 25 (2018) 1/2, pp. 235-252
Persistent link: https://www.econbiz.de/10011986366
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
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Credit, liquidity and market risks on financial performance : evidence from rural banks in Ghana
Saeed, Musah Mohammed; Hollack, Obeng - In: International journal of accounting and finance 11 (2023) 4, pp. 285-304
Persistent link: https://www.econbiz.de/10014545171
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Mexican REITs (FIBRAS) in retirement funds (AFORES) : different pricing approaches and market risk measurement implications
Cruz-Aké, Salvador; García-Ruiz, Reyna Susana; … - In: International journal of bonds and derivatives 2 (2016) 3, pp. 211-232
Persistent link: https://www.econbiz.de/10011742332
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Market risks that change domestic diversification benefits
Sarwar, Ghulam - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10014225809
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Assessing market risk of Indian index funds
Biswas, Suparna; Dutta, Santanu - In: Global business review 16 (2015) 3, pp. 511-523
Persistent link: https://www.econbiz.de/10011409306
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Comparing market risk of indian balanced, small and mid cap and large cap funds
Biswas, Suparna; Dutta, Santanu - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 603-620
Persistent link: https://www.econbiz.de/10013475253
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10009310942