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Risk analysis of world major stock index before and after the 2008 financial crisis : based on GARCH-VaR approach
Wu, Maoguo; Wang, Yanyuan - In: International journal of financial research 9 (2018) 2, pp. 39-54
Persistent link: https://www.econbiz.de/10012236540
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...
Persistent link: https://www.econbiz.de/10011866456
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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Uncertainty, market structure, and liquidity
Chung, Kee H.; Chuwonganant, Chairat - In: Journal of financial economics 113 (2014) 3, pp. 476-499
Persistent link: https://www.econbiz.de/10010495807
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Microstructure Effect on Firm's Volatility Risk
Barsotti, Flavia - 2013
volatility risk component of a fi rm within Merton [17] structural model. Di fferently from [20] we consider a more general … of nonparametric estimation techniques in order to estimate equity volatility. We conduct a simulation analysis to … compare the performance of diff erent non-parametric volatility estimators in their capability of i) filtering out the market …
Persistent link: https://www.econbiz.de/10013084247
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Dissecting the idiosyncratic volatility anomaly
Chen, Linda H.; Jiang, George J.; Xu, Danielle D.; Yao, Tong - In: Journal of empirical finance 59 (2020), pp. 193-209
Persistent link: https://www.econbiz.de/10012437973
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What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
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Feedback trading in global stock markets under uncertainty of COVID-19
Alp Coşkun, Esra - In: Review of behavioral finance : RBF 15 (2023) 5, pp. 750-778
Persistent link: https://www.econbiz.de/10014340969
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Explaining risk/return mismatch of the MSCI China index : a systematic risk analysis
Liang, Priscilla - In: Review of Pacific Basin financial markets and policies 10 (2007) 1, pp. 63-80
Persistent link: https://www.econbiz.de/10003463389