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Safehavenness of currencies
Wong, Alfred Y.; Fong, Tom - In: The European journal of finance 24 (2018) 4/6, pp. 300-332
Persistent link: https://www.econbiz.de/10012244321
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Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach
Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56
systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …
Persistent link: https://www.econbiz.de/10013169857
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Holding the economy by the tail: analysis of short- and long-run macroeconomic risks
Franta, Michal; Libich, Jan - 2021
Persistent link: https://www.econbiz.de/10012618211
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Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021
Persistent link: https://www.econbiz.de/10012700481
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The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach
Gregoriou, Greg N.; Racicot, François-Éric; Théoret, … - In: Economic modelling 94 (2021), pp. 843-872
Persistent link: https://www.econbiz.de/10012695357
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Risk, uncertainty, and leverage
Istiak, Khandokar; Serletis, Apostolos - In: Economic modelling 91 (2020), pp. 257-273
Persistent link: https://www.econbiz.de/10012429054
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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012385032
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Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
Asgharian, Hossein - 2020
We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...
Persistent link: https://www.econbiz.de/10012855094
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...
Persistent link: https://www.econbiz.de/10010339759