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Selection of the right risk measures for portfolio allocation
Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156
Persistent link: https://www.econbiz.de/10010531305
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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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Tail risks, asset prices, and investment horizons
Baruník, Jozef; Nevrla, Matěj - 2019
-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …
Persistent link: https://www.econbiz.de/10012009758
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Does the low-risk anomaly exist in the Indian equity market? : a test using alternative risk measures
Ali, Asgar; Badhani, K. N.; Kumar, Ashish - In: Journal of economic studies 49 (2022) 8, pp. 1422-1452
Persistent link: https://www.econbiz.de/10013455874
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Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
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Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
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Downside risk in emerging markets
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 49 (2013) 3, pp. 65-83
Persistent link: https://www.econbiz.de/10010200844
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Risk-adjusted performances of world equity indices
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721
Persistent link: https://www.econbiz.de/10011562564
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Do mutual funds reward downside risk? : evidence from an emerging economy
Agarwal, Pankaj K.; Pradhan, H. K. - In: Review of Pacific Basin financial markets and policies … 26 (2023) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10014304918
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ESG risk exposure : a tale of two tails
Yang, Runfeng; Caporin, Massimiliano; Jiménez-Martin, … - In: Quantitative finance 24 (2024) 6, pp. 827-849
Persistent link: https://www.econbiz.de/10015050799