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Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets

Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118

Persistent link: https://www.econbiz.de/10011653721

Do coherent risk measures identify assets risk profiles similarly? : evidence from international futures markets

Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael - In: Investment management and financial innovations 14 (2017) 3, pp. 361-380

Persistent link: https://www.econbiz.de/10011875432

Spectral measures of risk for international futures markets : a comparison of extreme value and Lévy models

Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Global finance journal 37 (2018), pp. 248-261

Persistent link: https://www.econbiz.de/10012125354

Modeling S&P500 returns with GARCH models

Alfaro, Rodrigo; Inzunza, Alejandra - 2022

Persistent link: https://www.econbiz.de/10013281378

How Do Top Acquirers Compare in Technology Mergers? New Evidence from an S&P Taxonomy

Jin, Ginger Zhe; Leccese, Mario; Wagman, Liad - National Bureau of Economic Research - 2022

Some argue that large platforms, such as Alphabet/Google, Amazon, Apple, Facebook and Microsoft (or GAFAM), are unusual in their number, pace and concentration of technology mergers, with the potential to harm market competition. Using a unique taxonomy developed by S&P Global Market...

Persistent link: https://www.econbiz.de/10012814417

Extended stock returns in response to S & P 500 index changes

Patel, Nimesh; Welch, Ivo - In: Review of asset pricing studies 7 (2017) 2, pp. 172-208

Persistent link: https://www.econbiz.de/10011779073

Forecasting macroeconomic variables using collapsed dynamic factor analysis

Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584

Persistent link: https://www.econbiz.de/10010513606

Higher earnings in large firms? : employer size-wage relation in the Czech Republic

Bílková, Diana - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 27 (2019) 2, pp. 3-20

Persistent link: https://www.econbiz.de/10012159205

What drives the regional disparities in municipal national health insurance premiums?

Kurono, Ruka - In: Japan and the world economy : international journal of … 61 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013329884