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Ghysels, Eric; Iania, Leonardo; Striaukas, Jonas - 2018

This paper proposes a new approach to extract quantile-based inflation risk measures using Quantile Autoregressive …-MIDAS model to construct inflation risk measures proxying for uncertainty, third-moment dynamics and the risk of extreme inflation … realizations. We find that these risk measures are linked to the future evolution of inflation and changes in the effective federal …

Persistent link: https://www.econbiz.de/10011920513

A study on the performance evaluation of equal-weight portfolio and optimum risk portfolio on the Indian stock market

Sen, Abhiraj; Sen, Jaydip - In: International journal of business forecasting and … 10 (2025) 1, pp. 37-95

Persistent link: https://www.econbiz.de/10015375443

Financial networks and systemic risk vulnerabilities : a tale of Indian banks

Ahmad, Wasim; Tiwari, Shiv Ratan; Wadhwani, Akshay; … - In: Research in international business and finance 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014434078

Internecine interrelations among liquidity risk, market risk and credit risk in Indian banking system

Sharma, Raavinuthala Satya Krishna; Jain, Girish; … - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 780-797

Persistent link: https://www.econbiz.de/10014434350

Equity price risk of commercial banks in India

Das, Nupur Moni; Rout, Bhabani Sankar - In: Arthaniti : journal of economic theory and practice 23 (2024) 2, pp. 179-201

Persistent link: https://www.econbiz.de/10015145478

Implementation of machine learning in 𝓁∞‑based sparse Sharpe ratio portfolio optimization : a case study on Indian stock market

Behera, Jyotirmayee; Kumar, Pankaj - In: Operational research : an international journal 24 (2024) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10015135777

Estimation of tail-related risk measures in the Indian stock market : an extreme value approach

Karmakar, Madhusudan - In: Review of financial economics : RFE 22 (2013) 3, pp. 79-85

Persistent link: https://www.econbiz.de/10010213379

Liquidity adjustment in Value at Risk (VaR) model : evidence from the Indian debt market

Roy, Sunando - In: Occasional papers / Reserve Bank of India 25 (2004) 1/2/3, pp. 1-16

Persistent link: https://www.econbiz.de/10003310217

Application of multi factor risk model for estimating value-at-riskin Indian stock market

Kaur, Navneet - In: Indian journal of economics & business : IJEB 15 (2016) 1, pp. 115-133

Persistent link: https://www.econbiz.de/10011534327

Credit risk capital estimation under IRB approach for banks in India

Bajaj, Richa Verma - In: Journal of quantitative economics 16 (2018) 2, pp. 475-500

Persistent link: https://www.econbiz.de/10012418500