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Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany

Zhang, Wenting; Hamori, Shigeyuki - In: International review of financial analysis 74 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012803936

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence

Degiannakis, Stavros Antonios - 2018

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve … specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide …-ahead forecasting horizons relative to the short memory GARCH specification. Additionally, the results suggest that underestimation of …

Persistent link: https://www.econbiz.de/10012910119

The role of jumps and leverage in forecasting volatility in international equity markets

Buncic, Daniel; Gisler, Katja Ida Maria - In: Journal of international money and finance 79 (2017), pp. 1-19

Persistent link: https://www.econbiz.de/10011788346

Market risk modeling with option-implied covariances and score-driven dynamics

Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014534822

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959