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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Volatility : as a driving factor of stock market co-movement
Özbekler, Ali Gencay - 2017
Persistent link: https://www.econbiz.de/10011657925
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The impact of Covid-19 and Russia-Ukraine war on the financial asset volatility : evidence from equity, cryptocurrency and alternative assets
Taera, Edosa Getachew; Setiawan, Budi; Saleem, Adil; … - In: Journal of open innovation : technology, market, and … 9 (2023) 3, pp. 1-15
This study investigates the volatility and external shock persistence within the financial and alternative assets … experienced an increase in volatility, except Bitcoin, across all observation periods. Islamic stock and ESG indexes exhibited … high volatility before the Covid-19 outbreak. During the pandemic, all assets became more volatile. In addition, Islamic …
Persistent link: https://www.econbiz.de/10014504731
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Isolating momentum crashes
Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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High-frequency data and stock-bond investing
Lai, Yu-Sheng - In: Journal of forecasting 41 (2022) 8, pp. 1623-1638
Persistent link: https://www.econbiz.de/10013465728
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Discovering the drivers of stock market volatility in a data-rich world
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014245870
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Investors’ Uncertainty and Stock Market Risk
Escobari, Diego - 2018
We propose a novel approach to model investors' uncertainty using the conditional volatility of investors' sentiment …
Persistent link: https://www.econbiz.de/10012923524
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The effectiveness of seasonal investments in European Share Portfolios
Heidorn, Thomas; Maier, F.; Winker, M. - 2017
In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...
Persistent link: https://www.econbiz.de/10011592704
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A Value-at-Risk Modeling Techniques to Computing Equity Trading Risk Exposure in Emerging Stock Markets
Al Janabi, Mazin A. M. - 2021
The attempt of this article is to fill a gap in the equity trading risk management literature and particularly from the perspective of emerging and illiquid financial markets, such as in the context of the Moroccan stock market. This paper provides real-world risk management techniques and...
Persistent link: https://www.econbiz.de/10013227807