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Discussion of "Microeconomic uncertainty, international trade, and aggregate fluctuations"
Lustig, Hanno - In: Journal of monetary economics 69 (2015), pp. 39-41
Persistent link: https://www.econbiz.de/10011326721
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Analysis of systemic risk in the insurance industry
Bobtcheff, Catherine; Chaney, Thomas; Gollier, Christian - In: The Geneva risk and insurance review 41 (2016) 1, pp. 73-106
Persistent link: https://www.econbiz.de/10011447290
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic
Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …
Persistent link: https://www.econbiz.de/10012795039
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Fund size and the stability of portfolio risk
Ewen, Martin; Rieger, Marc Oliver - In: Journal of risk 22 (2019/2020) 6, pp. 65-87
Persistent link: https://www.econbiz.de/10012421711
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Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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Risk sharing in a world economy with uncertainty shocks
Kollmann, Robert - 2015
Persistent link: https://www.econbiz.de/10011628507
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International business cycles and risk sharing with uncertainty shocks and recursive preferences
Kollmann, Robert - 2016
Persistent link: https://www.econbiz.de/10011672367
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Measuring uncertainty through word vector representations
Aromí, J. Daniel - In: Económica 63 (2017), pp. 139-160
Persistent link: https://www.econbiz.de/10011922114
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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
financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …
Persistent link: https://www.econbiz.de/10011866456