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Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
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Disentangling crashes from tail events
Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219
Persistent link: https://www.econbiz.de/10011348417
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On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe
Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183
Persistent link: https://www.econbiz.de/10012264953
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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012158736
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Are value at risk and maximum drawdown different from volatility in stock market?
Kim, Soo-Hyun - In: The journal of applied business research 34 (2018) 2, pp. 217-222
Persistent link: https://www.econbiz.de/10011868772
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Financial volatility modeling with option-implied information and important macro-factors
Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149
Persistent link: https://www.econbiz.de/10013532426
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Asymptotic dependence modelling of the BRICS stock markets
Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...
Persistent link: https://www.econbiz.de/10013368365
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Co-dependence of extreme events in high frequency FX returns
Polanski, Arnold; Stoja, Evarist - In: Journal of international money and finance 44 (2014), pp. 164-178
Persistent link: https://www.econbiz.de/10010391066
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Asymmetric jump beta estimation with implications forportfolio risk management
Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017
Persistent link: https://www.econbiz.de/10012806610
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The impact of risk-taking on firm volatility
Lee, See-Nie - In: Asia-Pacific contemporary finance and development, (pp. 165-193). 2019
Persistent link: https://www.econbiz.de/10012249713