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Measuring volatility persistence and risk in Southern and East African stock markets

Coffie, William - In: International journal of economics and business research 9 (2015) 1, pp. 23-36

Persistent link: https://www.econbiz.de/10011332918

Does idiosyncratic volatility matter in the emerging markets? : Istanbul Stock Exchange evidence

Gökgöz, Fazıl; Altintaş, Ipek - In: Economic research 26 (2013) 3, pp. 133-150

Persistent link: https://www.econbiz.de/10010197022

Type of traders' effect on risk and return : the case of Egyptian stock exchange

Dawood, Aly Saad Mohamed; El-Giziry, Khairy - In: International journal of economics and finance 8 (2016) 2, pp. 256-268

Persistent link: https://www.econbiz.de/10011446687

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

Persistent link: https://www.econbiz.de/10011293745

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation

Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Quantifiable, measurable risk is of critical importance when making data-driven decisions in finance and investment management, but what if the generally accepted practice of the investment industry for calculating risk possessed incorrect mathematical assumptions and embedded biases? This piece...

Persistent link: https://www.econbiz.de/10013179703