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Multiscale relationship between economic policy uncertainty and sectoral returns : implications for portfolio management

Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; Ur … - In: Research in international business and finance 61 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10014246854

Managing downside risk of low-risk anomaly portfolios

Kim, Hyuksoo; Kim, Saejoon - In: Finance research letters 46 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013341589

Abnormal Downside Tail Risk as a Predictor of Risky Bond Returns

Ahn, Jisu; Hwang, Injun; Kim, Baeho - 2022

This study finds that downside tail risk , estimated from Korean corporate bond market data, predicts the excess … returns of publicly listed investment-grade bonds. In addition to (normal) value at risk, estimated assuming a normal return … distribution, abnormal risk , defined as the portion of the downside risk that deviates from normality, is also significant for …

Persistent link: https://www.econbiz.de/10013295157

Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns

León-Camacho, Bernardo; Mora-Valencia, Andrés; … - In: The engineering economist : a journal devoted to the … 67 (2022) 3, pp. 218-233

Persistent link: https://www.econbiz.de/10013362736

Does momentum trading generate extra downside risk?

Dobrynskaja, V. V. - In: The Quarterly Journal of Finance : QJF 12 (2022) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10013367660

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

Equity tail risk and currency risk premiums

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - In: Journal of financial economics 143 (2022) 1, pp. 484-503

Persistent link: https://www.econbiz.de/10013350667

Ex-ante risk factors and required structures of the implied correlation matrix

Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10013336218

Estimating tail-risk using semiparametric conditional variance with an application to meme stocks

D'Addona, Stefano; Khanom, Najrin - In: International review of economics & finance : IREF 82 (2022), pp. 241-260

Persistent link: https://www.econbiz.de/10013543110

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