Showing 1 - 10 of 3,558
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10014025361
calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …
Persistent link: https://www.econbiz.de/10011780277
The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d’Orey (1987; 1994) to assess which uncertainties are the potential...
Persistent link: https://www.econbiz.de/10013233971
Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … portfolio volatility through time. Our paper examines strategy performance from an investment practitioner perspective. Using … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail …
Persistent link: https://www.econbiz.de/10012900599
credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums …
Persistent link: https://www.econbiz.de/10012853481
The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...
Persistent link: https://www.econbiz.de/10012510024
Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency market and provides information distinct from other...
Persistent link: https://www.econbiz.de/10014095570
The purpose of this research is the realistic forecast of volatility in frame of a risk parity class of strategies. The … custom rescaling of volatility – naïve risk parity - doesn't consider market inefficiencies which correspond to cyclical … as the instrument for realistic estimation of risk. The proposed model allows for modifying a rule for volatility …
Persistent link: https://www.econbiz.de/10012955396
volatility surface. This type of analysis helps to reconcile traditional financial theory such as the Black-Scholes model with … the realities seen in the financial markets. Apparent anomalies such as non-constant volatility across strikes and times …
Persistent link: https://www.econbiz.de/10013028210
We estimate the effects of anticipated and unanticipated monetary policy changes on jump activity by employing high frequency non-parametric jump detection methods. We find that anticipated changes in the Fed funds have no significant effect on jumps. In contrast, jumps in the second moments of...
Persistent link: https://www.econbiz.de/10013031353