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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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Investing in gold : individual asset risk in the long run
Michis, Antonis A. - In: Finance research letters 11 (2014) 4, pp. 369-374
Persistent link: https://www.econbiz.de/10011300440
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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10011303812
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Thinly traded securities and risk management
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10010385821
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Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach
Alsarhan, Abdulwahab A.; Khalifa, Ahmed A. A.; Al-Titi, Omar - In: American journal of finance and accounting 3 (2013/14) 1, pp. 24-40
Persistent link: https://www.econbiz.de/10010403324
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Systematic risk in pairs trading and dynamic parameterization
Li, Yiyun; Law, Keith K. F. - In: Economics letters 202 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012607236
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Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
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Multi-scale inter-temporal capital asset pricing model
Sakemoto, Ryuta - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4298-4317
Persistent link: https://www.econbiz.de/10013461328
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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...
Persistent link: https://www.econbiz.de/10014289044