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A global economic policy uncertainty index from principal component analysis
Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012819228
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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A quantum derivation of a reputational risk premium
Piñeiro Chousa, Juan Ramón; Vizcaíno-González, Marcos - In: International review of financial analysis 47 (2016), pp. 304-309
Persistent link: https://www.econbiz.de/10011624199
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Information-theoretic approach to quantifying currency risk
Fiedor, Pawel; Holda, Artur - In: Journal of risk finance : the convergence of financial … 17 (2016) 1, pp. 93-109
Persistent link: https://www.econbiz.de/10011537513
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Baryonic beta dynamics : an econophysical model of systematic risk
Chen, Jim - In: Estudios de economía aplicada : revista promovida por … 36 (2018) 1, pp. 263-276
Persistent link: https://www.econbiz.de/10011972736
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Baryonic Beta Dynamics : An Econophysical Model of Systematic Risk
Chen, James Ming - 2018
volatility and correlation, as well as cash-flow and discount-rate effects. Splitting the atom of systematic risk answers some of … the most troubling anomalies and puzzles in finance, including abnormal returns on small-cap and value stocks, the low-volatility …
Persistent link: https://www.econbiz.de/10012932305
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Asset pricing with disagreement and uncertainty about the length of business cycles
Andrei, Daniel; Carlin, Bruce Ian; Hasler, Michael - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2900-2923
Persistent link: https://www.econbiz.de/10012039878
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Firms' subjective uncertainty and forecast errors
Morikawa, Masayuki - 2019
Persistent link: https://www.econbiz.de/10012134681
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Volatility in the housing market : evidence on risk and return in the London sub-market
Cook, Steve; Watson, Duncan - In: Quantitative finance and economics 1 (2017) 3, pp. 272-287
Persistent link: https://www.econbiz.de/10012137801