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Extreme risk spillovers between crude palm oil prices and exchange rates
Go, You-How; Lau, Wee-Yeap - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013188167
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True or spurious long memory in European non-EMU currencies
Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230
Persistent link: https://www.econbiz.de/10011912762
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868
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The effect of leverage on the magnitude of risk : can financial market black swan events, 10 sigma events and fat tails be explained by leverage?
Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 4 (2015) 1/2, pp. 45-54
Persistent link: https://www.econbiz.de/10011444068
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
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The effect of leverage on the magnitude of risk : can financial market Black Swan events : 10 sigma events and fat tails be explained by leverage?
Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 2 (2013) 1/2, pp. 45-54
Persistent link: https://www.econbiz.de/10010426274
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Investigation of forecasted risk interrelationship : base on GARCH model, causality in China markets
Lin, Shu-shian - In: Journal of business economics and management 15 (2014) 5, pp. 853-861
Persistent link: https://www.econbiz.de/10010483694
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Problems connected with measuring risks of foreign direct investments
Kozłowska, Magdalena - In: Journal of economics & management 20 (2015) 2, pp. 93-105
Persistent link: https://www.econbiz.de/10011382602
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Do market prices aggregate information about macroeconomic uncertainty (or risk)?
Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534
Persistent link: https://www.econbiz.de/10011295329
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …
Persistent link: https://www.econbiz.de/10011293745