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Value-at-risk and the cross section of emerging market hedge fund returns

Ali, Sara; Badshah, Ihsan Ullah; Demirer, Rıza - In: Global finance journal 52 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013412541

Stock return comovement around the Dow Jones Islamic Market World Index revisions

Mazouz, Khelifa; Mohamed, Abdulkadir; Saadouni, Brahim - In: Journal of economic behavior & organization : JEBO 132 (2016), pp. 50-62

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Financial integration and diversification benefits : China and ASEAN4 countries

Nguyen, Tung Dao; Elisabeta, Pana - In: Managerial finance 42 (2016) 5, pp. 496-514

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VIX and the variance of Dow Jones industrial average stocks

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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142